Analytics

Our Downside Risk Index aims to distinguish the volatility that’s driven primarily by downside risk from the risk generated by upside potential.

U.S. Stock Market Volatility Estimates for August 17, 2018

The Recent Realized Volatility shown in the chart represents the realized volatility of the S&P 500 Index. This measure is computed by AlphaSimplex using a weighting scheme that attaches more significance to recent data relative to more distant data (specifically, using an exponential decay with a half life of 21 days). The Long−Term Realized Volatility represents the realized volatility of the S&P 500 Index as of the report date (using an exponential decay with a half life of 10 years) as computed by AlphaSimplex. The Implied Volatility in the chart is the implied volatility of the S&P 500 Index as measured by the VIX (Bloomberg ticker VIX Index). For realized volatility measures, alternative weighting schemes will generate different results. Past volatilities are not predictions of future volatilities.


AlphaSimplex Downside Risk Index Estimates for August 17, 2018

The Downside Risk Index (DRI) is a proprietary index designed by AlphaSimplex to reflect the recent downside volatility of equity markets. Here, downside volatility is a measure of the extent to which recent volatility in an equity market’s daily returns has resulted from negative price moves (as opposed to volatility resulting from positive price moves). The DRI can range from 0 to 100, and higher values indicate that the recent level of downside volatility has been high relative to historically observed levels of downside volatility. The DRI is not a prediction of future returns or volatilities of equity markets and investors should not rely on this index when making investment decisions.

U.S. Equities = S&P 500 Index

Int’l Equities (EAFE) = MSCI EAFE Index

Emerging Markets = MSCI Emerging Markets Index