Live Asset Class Volatility and Value at Risk (for 2021-10-26, 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: 2021-10-26 (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*
Polkadot91.0%156.6%
Solana82.6%137.9%
Bitcoin SV81.6%101.6%
Stellar76.1%105.1%
Cosmos73.6%252.8%
Qtum68.3%134.8%
Filecoin67.0%157.2%
VeChain65.9%116.0%
Algorand63.1%290.3%
ChainLink63.0%137.6%
Tezos61.9%222.5%
SUSHI59.4%166.9%
Litecoin58.2%97.0%
Compound57.4%126.0%
EOS56.7%122.2%
YFI56.1%99.0%
Uniswap55.1%116.1%
Binance Coin53.3%91.4%
Monero50.6%96.8%
Bitcoin Cash49.2%88.4%
FARM49.2%103.1%
Ethereum48.9%88.5%
Bitcoin48.6%72.1%
AAVE47.8%122.7%
Ripple47.7%103.1%
ICON47.2%140.1%
DASH46.0%106.6%
Cardano37.2%88.2%
TRON34.7%140.2%
Crypto.com Coin30.3%109.4%
Model Portfolio Crypto19.9%63.2%
Nikkei 22519.9%0.0%
Crude oil17.3%0.0%
Euro Stoxx 5017.2%0.0%
S&P50014.0%0.0%
Gold12.4%0.0%
EM Equity12.3%0.0%
US Treasury Bonds10.6%0.0%
Australian dollar7.4%0.0%
Japanese yen6.0%0.0%
Euro6.0%0.0%
EM LC Bonds5.4%0.0%
LSS Model Portfolio3.5%6.4%
Global High Yield3.4%0.0%
Inv Grade Credit3.3%0.0%
Model Portfolio Traditional1.9%0.0%


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*
Polkadot212.0%365.0%
Solana192.5%321.4%
Bitcoin SV190.0%236.7%
Stellar177.2%244.8%
Cosmos171.4%589.1%
Qtum159.1%314.0%
Filecoin156.1%366.4%
VeChain153.5%270.4%
Algorand147.0%676.5%
ChainLink146.8%320.6%
Tezos144.3%518.5%
SUSHI138.5%388.8%
Litecoin135.6%225.9%
Compound133.7%293.5%
EOS132.2%284.8%
YFI130.6%230.6%
Uniswap128.4%270.6%
Binance Coin124.1%213.0%
Monero118.0%225.6%
Bitcoin Cash114.6%206.0%
FARM114.5%240.1%
Ethereum113.9%206.2%
Bitcoin113.3%168.0%
AAVE111.4%285.9%
Ripple111.2%240.3%
ICON110.1%326.4%
DASH107.1%248.4%
Cardano86.7%205.6%
TRON80.9%326.6%
Crypto.com Coin70.5%254.8%
Model Portfolio Crypto46.3%147.3%
Nikkei 22546.3%0.0%
Crude oil40.3%0.0%
Euro Stoxx 5040.0%0.0%
S&P50032.6%0.0%
Gold28.9%0.0%
EM Equity28.6%0.0%
US Treasury Bonds24.7%0.0%
Australian dollar17.2%0.0%
Japanese yen14.1%0.0%
Euro14.1%0.0%
EM LC Bonds12.6%0.0%
LSS Model Portfolio8.2%15.0%
Global High Yield7.9%0.0%
Inv Grade Credit7.6%0.0%
Model Portfolio Traditional4.5%0.0%


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*
Polkadot61.2%105.2%
Solana55.6%104.1%
Bitcoin SV54.9%67.6%
Stellar51.2%69.2%
Cosmos49.5%171.3%
Qtum45.9%90.0%
Filecoin45.1%100.4%
VeChain44.3%77.2%
Algorand42.4%193.2%
ChainLink42.4%91.3%
Tezos41.7%145.2%
SUSHI40.0%111.3%
Litecoin39.1%76.8%
Compound38.6%80.5%
EOS38.2%85.8%
YFI37.7%67.1%
Uniswap37.1%77.2%
Binance Coin35.8%59.8%
Monero34.1%64.7%
Bitcoin Cash33.1%61.3%
FARM33.1%67.8%
Ethereum32.9%58.9%
Bitcoin32.7%47.0%
AAVE32.2%80.4%
Ripple32.1%69.9%
ICON31.8%93.6%
DASH30.9%69.2%
Cardano25.0%59.4%
TRON23.4%93.8%
Crypto.com Coin20.4%72.3%
Model Portfolio Crypto13.4%43.2%
Nikkei 22513.4%10.0%
Crude oil11.6%15.3%
Euro Stoxx 5011.6%9.1%
S&P5009.4%7.3%
Gold8.3%9.3%
EM Equity8.3%8.8%
US Treasury Bonds7.1%8.2%
Australian dollar5.0%5.4%
Japanese yen4.1%2.5%
Euro4.1%2.5%
EM LC Bonds3.6%3.5%
LSS Model Portfolio2.4%4.3%
Global High Yield2.3%1.4%
Inv Grade Credit2.2%2.0%
Model Portfolio Traditional1.3%2.4%


Get earlier dates

Date
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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