Live Asset Class Volatility and Value at Risk (for 2020-12-30, all assets)

This page provides an overview of actual market risk levels, as also graphically shown per asset class on our Risk section. These numbers are calculated based on 21 day daily returns, and scaled to 21 day (monthly) and 252 day (yearly) levels of volatility and Value at Risk (VaR). The latter is a standard tool used by banks, asset managers and hedge funds to assess the prevailing level of market risk.


VaR provides a metric that tells you that if you were to invest in an asset today, you would with 99% (or any other degree) confidence not expect to lose more than a certain percentage of your investments over a given timeframe. In the 1% of bad times that are not captured by the model, you could stand to lose even more. Value at Risk can be calculated with varying degrees of sophistication and here we show you a simple parametric VaR model that captures potential losses with 99% certainty over a one month (21 day) time span.


LongShortSignals models cover a wide variety of assets. Risk levels are shown based on 1 month of the most recent daily returns and updated daily. The asset legend is shown under the risk tables. As of date: 2020-12-30 (show for latest, 2021-11-30, 2021-10-29, 2021-09-30, 2021-08-31, 2021-07-30, more dates). You can also choose to only show traditional assets (hide cryptocurrencies).

Asset Class Volatility

Annualized volatility based on the most recent 21 (trading) days of returns per asset class. * T-1M: comparable volatility level of 1 month ago.

AssetVolT-1M*
Ripple207.9%186.7%
Stellar158.6%231.7%
VeChain144.9%111.6%
Bitcoin Cash125.5%113.7%
Cardano125.3%109.9%
Litecoin123.3%100.1%
ChainLink106.8%90.2%
Algorand105.3%131.1%
Qtum104.6%94.7%
EOS101.1%95.9%
Cosmos96.7%77.4%
Tezos95.5%87.4%
TRON92.5%92.8%
DASH92.3%119.4%
ICON91.9%97.8%
Bitcoin SV80.9%94.4%
Binance Coin79.7%64.6%
Ethereum78.4%71.5%
Crypto.com Coin74.0%108.0%
Monero70.1%63.5%
Bitcoin61.3%52.4%
Model Portfolio Crypto45.6%62.0%
Crude oil20.7%39.3%
Euro Stoxx 5014.4%25.2%
Gold14.0%22.0%
Nikkei 22513.2%18.2%
EM Equity13.2%14.8%
LSS Model Portfolio10.4%14.7%
S&P5008.8%16.5%
US Treasury Bonds8.6%15.7%
Australian dollar7.4%8.7%
Inv Grade Credit7.0%4.5%
Japanese yen6.1%5.2%
Euro6.1%5.2%
EM LC Bonds6.0%8.7%
Model Portfolio Traditional4.0%4.7%
Global High Yield2.3%5.9%


Asset Class Value at Risk (99% 1 year)

An investor in these asset classes would with 99% certainty not be expected to lose more than the figures shown below over a 1 year time period (though obvious caveat: in the 1% of cases, returns could be worse). Note that for excessively volatile assets like cryptocurrencies, this figure could exceed 100% which is a statistical anomaly. * T-1M: comparable volatility level of 1 month ago.

AssetVolT-1M*
Ripple484.5%435.0%
Stellar369.5%540.0%
VeChain337.6%260.0%
Bitcoin Cash292.5%264.9%
Cardano292.1%256.1%
Litecoin287.2%233.2%
ChainLink248.9%210.2%
Algorand245.2%305.5%
Qtum243.7%220.6%
EOS235.5%223.5%
Cosmos225.4%180.4%
Tezos222.5%203.6%
TRON215.5%216.3%
DASH215.1%278.1%
ICON214.1%227.9%
Bitcoin SV188.5%220.1%
Binance Coin185.7%150.6%
Ethereum182.6%166.7%
Crypto.com Coin172.4%251.7%
Monero163.3%147.9%
Bitcoin142.8%122.2%
Model Portfolio Crypto106.3%144.4%
Crude oil48.3%91.6%
Euro Stoxx 5033.5%58.7%
Gold32.7%51.2%
Nikkei 22530.7%42.4%
EM Equity30.6%34.5%
LSS Model Portfolio24.3%34.2%
S&P50020.6%38.5%
US Treasury Bonds20.0%36.6%
Australian dollar17.3%20.2%
Inv Grade Credit16.3%10.6%
Japanese yen14.3%12.0%
Euro14.3%12.0%
EM LC Bonds14.0%20.4%
Model Portfolio Traditional9.4%10.9%
Global High Yield5.3%13.8%


Asset Class Value at Risk (99% 1 month)

An investor in these asset classes would with 99% certainty not lose more than the figures shown below over a 1 month time period (though again the obvious caveat: in the 1% of cases, returns could be worse). * T-1M: comparable volatility level of 1 month ago.

AssetVolT-1M*
Ripple139.9%125.6%
Stellar106.7%155.9%
VeChain97.4%75.0%
Bitcoin Cash84.4%76.5%
Cardano84.3%73.9%
Litecoin82.9%67.3%
ChainLink71.8%60.7%
Algorand70.8%88.2%
Qtum70.4%63.7%
EOS68.0%64.5%
Cosmos65.1%52.1%
Tezos64.2%58.8%
TRON62.2%62.4%
DASH62.1%80.3%
ICON61.8%65.8%
Bitcoin SV54.4%63.5%
Binance Coin53.6%43.5%
Ethereum52.7%48.1%
Crypto.com Coin49.8%72.7%
Monero47.2%42.7%
Bitcoin41.2%35.3%
Model Portfolio Crypto30.7%41.7%
Crude oil13.9%26.4%
Euro Stoxx 509.7%16.9%
Gold9.4%14.8%
Nikkei 2258.9%12.3%
EM Equity8.8%10.0%
LSS Model Portfolio7.0%9.9%
S&P5006.0%11.1%
US Treasury Bonds5.8%10.6%
Australian dollar5.0%5.8%
Inv Grade Credit4.7%3.1%
Japanese yen4.1%3.5%
Euro4.1%3.5%
EM LC Bonds4.1%5.9%
Model Portfolio Traditional2.7%3.1%
Global High Yield1.5%4.0%


Get earlier dates

Date
2021-12-31
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2020-04-30
2020-03-31
2020-02-28


Asset class legend

TickerFull nameAsset class
GoldGoldCommodities
OilCrude oilCommodities
AAVEAAVECryptocurrencies
ADACardanoCryptocurrencies
ALGOAlgorandCryptocurrencies
ATOMCosmosCryptocurrencies
BCHBitcoin CashCryptocurrencies
BNBBinance CoinCryptocurrencies
BSVBitcoin SVCryptocurrencies
BTCBitcoinCryptocurrencies
COMPCompoundCryptocurrencies
CROCrypto.com CoinCryptocurrencies
DASHDASHCryptocurrencies
DOTPolkadotCryptocurrencies
EOSEOSCryptocurrencies
ETHEthereumCryptocurrencies
FARMFARMCryptocurrencies
FILFilecoinCryptocurrencies
ICXICONCryptocurrencies
LINKChainLinkCryptocurrencies
LTCLitecoinCryptocurrencies
SOLSolanaCryptocurrencies
SUSHISUSHICryptocurrencies
TRXTRONCryptocurrencies
UNIUniswapCryptocurrencies
VETVeChainCryptocurrencies
XLMStellarCryptocurrencies
XMRMoneroCryptocurrencies
XRPRippleCryptocurrencies
XTZTezosCryptocurrencies
YFIYFICryptocurrencies
AUDAustralian dollarCurrencies
EUREuroCurrencies
JPYJapanese yenCurrencies
EMLCEM LC BondsFixed income
GHYGlobal High YieldFixed income
IGCInv Grade CreditFixed income
USTUS Treasury BondsFixed income
EMEQEM EquityStocks
NKYNikkei 225Stocks
SPXS&P500Stocks
SX5EEuro Stoxx 50Stocks