Time to Manage Your Risk

16 August 2011

S&P 500 Index: 7/28/2011-8/4/2011

The events in the equity markets in the last 10 days have been nothing less than extraordinary, to say the least.Here are some stats on the S&P 500 Index prior to July 28th:

  • YTD Return: 6.43%
  • YTD Realized volatility: 13.05%
  • YTD Correlation to gold: 0.05

Here are the same stats with data since 7/28 included.

  • YTD Return: -6.49%
  • YTD Realized volatility: 19.67%
  • YTD Correlation to gold: -0.18

Very significant market impacts have taken place here.

All of the above were calculated using The RiskAPI Add-In.