Live Asset Class Volatility and Value at Risk (for 2021-10-18, 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: 2021-10-18 (show for latest, 2021-12-02, 2021-12-01, 2021-11-30, 2021-11-29, 2021-11-28, 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*
Tezos120.8%213.2%
Qtum111.5%119.9%
ICON104.3%129.8%
SUSHI96.6%134.2%
Uniswap95.3%101.9%
Polkadot94.7%149.3%
Filecoin94.2%141.4%
Bitcoin SV87.4%85.9%
VeChain82.1%106.8%
Stellar79.5%95.0%
Solana75.9%128.5%
Algorand74.2%269.6%
Cosmos73.1%210.9%
Compound71.5%106.9%
Binance Coin66.4%77.7%
EOS60.7%109.4%
FARM60.5%154.5%
AAVE60.2%105.0%
ChainLink59.3%123.6%
YFI58.0%88.5%
DASH57.8%100.9%
Bitcoin Cash55.9%79.4%
Bitcoin52.9%57.8%
Ethereum52.7%79.2%
Ripple51.6%100.4%
Litecoin50.5%106.7%
Crypto.com Coin46.6%92.9%
Monero45.1%81.3%
Cardano42.8%89.4%
TRON42.7%122.6%
Model Portfolio Crypto26.0%61.9%
Nikkei 22521.5%13.8%
Euro Stoxx 5020.1%9.7%
Crude oil19.3%32.3%
S&P50016.2%8.7%
Gold13.8%10.8%
EM Equity13.5%17.3%
US Treasury Bonds12.4%9.0%
Australian dollar7.1%9.5%
Euro6.2%3.1%
Japanese yen6.2%3.1%
EM LC Bonds5.4%5.5%
LSS Model Portfolio3.8%7.7%
Inv Grade Credit3.6%2.7%
Global High Yield2.8%1.7%
Model Portfolio Traditional2.8%3.5%


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*
Tezos281.4%496.8%
Qtum259.8%279.4%
ICON243.0%302.5%
SUSHI225.0%312.6%
Uniswap221.9%237.4%
Polkadot220.6%347.9%
Filecoin219.5%329.5%
Bitcoin SV203.7%200.2%
VeChain191.3%248.8%
Stellar185.3%221.4%
Solana176.8%299.5%
Algorand172.9%628.1%
Cosmos170.3%491.3%
Compound166.7%249.0%
Binance Coin154.8%181.0%
EOS141.4%254.8%
FARM141.0%359.9%
AAVE140.3%244.6%
ChainLink138.2%288.0%
YFI135.1%206.1%
DASH134.8%235.0%
Bitcoin Cash130.2%185.0%
Bitcoin123.3%134.6%
Ethereum122.8%184.6%
Ripple120.2%233.9%
Litecoin117.6%248.5%
Crypto.com Coin108.6%216.5%
Monero105.2%189.5%
Cardano99.6%208.4%
TRON99.4%285.5%
Model Portfolio Crypto60.6%144.2%
Nikkei 22550.1%32.2%
Euro Stoxx 5046.7%22.6%
Crude oil45.1%75.3%
S&P50037.8%20.2%
Gold32.1%25.2%
EM Equity31.5%40.3%
US Treasury Bonds28.9%21.1%
Australian dollar16.5%22.1%
Euro14.4%7.2%
Japanese yen14.4%7.2%
EM LC Bonds12.5%12.7%
LSS Model Portfolio8.8%17.9%
Inv Grade Credit8.5%6.2%
Global High Yield6.5%3.9%
Model Portfolio Traditional6.5%8.2%


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*
Tezos81.2%137.4%
Qtum75.0%80.7%
ICON70.1%87.4%
SUSHI65.0%96.5%
Uniswap64.1%69.8%
Polkadot63.7%101.3%
Filecoin63.4%95.9%
Bitcoin SV58.8%57.9%
VeChain55.2%71.9%
Stellar53.5%64.0%
Solana51.0%86.9%
Algorand49.9%182.4%
Cosmos49.2%143.1%
Compound48.1%71.9%
Binance Coin44.7%51.2%
EOS40.8%74.2%
FARM40.7%104.2%
AAVE40.5%71.7%
ChainLink39.9%83.2%
YFI39.0%59.4%
DASH38.9%66.8%
Bitcoin Cash37.6%53.5%
Bitcoin35.6%38.8%
Ethereum35.4%54.1%
Ripple34.7%67.5%
Litecoin33.9%72.0%
Crypto.com Coin31.3%62.6%
Monero30.4%54.7%
Cardano28.8%61.1%
TRON28.7%82.4%
Model Portfolio Crypto17.5%41.6%
Nikkei 22514.5%9.5%
Euro Stoxx 5013.5%6.9%
Crude oil13.0%21.4%
S&P50010.9%5.2%
Gold9.3%9.0%
EM Equity9.1%12.0%
US Treasury Bonds8.3%6.2%
Australian dollar4.8%6.5%
Euro4.2%2.3%
Japanese yen4.2%2.3%
EM LC Bonds3.6%3.8%
LSS Model Portfolio2.6%5.2%
Inv Grade Credit2.4%1.8%
Global High Yield1.9%1.3%
Model Portfolio Traditional1.9%2.5%


Get earlier dates

Date
2021-12-03
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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