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: 2020-08-31 (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 show all assets (including cryptocurrencies).
Annualized volatility based on the most recent 21 (trading) days of returns per asset class. * T-1M: comparable volatility level of 1 month ago.
|US Treasury Bonds||9.3%||6.2%|
|EM LC Bonds||6.9%||7.6%|
|Inv Grade Credit||3.6%||4.3%|
|Global High Yield||2.4%||3.9%|
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.
|US Treasury Bonds||21.6%||14.4%|
|EM LC Bonds||16.1%||17.7%|
|Inv Grade Credit||8.5%||10.0%|
|Global High Yield||5.7%||9.1%|
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.
|US Treasury Bonds||6.2%||4.2%|
|EM LC Bonds||4.6%||5.1%|
|Inv Grade Credit||2.4%||2.9%|
|Global High Yield||1.6%||2.6%|
|Ticker||Full name||Asset class|
|EMLC||EM LC Bonds||Fixed income|
|GHY||Global High Yield||Fixed income|
|IGC||Inv Grade Credit||Fixed income|
|UST||US Treasury Bonds||Fixed income|
|SX5E||Euro Stoxx 50||Stocks|