RiskMetrics introduces monthly risk report
11 February 2004 | 1282 views | 0
Drawing notable market insight from an analysis of volatility, RiskMetrics Group introduces its Monthly Risk Report, a broad assessment of market risk across many asset classes. The report applies RiskMetrics Group's industry standard risk management methodologies to the monthly news and events that impact the equity, credit, currency and commodity markets.
Each monthly report provides a series of custom analyses, which look at various components of market behavior through the risk management lens, along with a monthly data snapshot, which analyzes the market in terms four major metrics:
-- 52-week return: The one-year average performance of a stock, bond or fund
-- Risk-adjusted return: A measurement of one-year average performance that is weighted to reflect the amount of risk taken
-- Annualized volatility: Given current levels of risk, an estimate of how much prices are likely to fluctuate over the next year
-- 5-day Value-at Risk (VaR): The predicted worst-case-scenario (at a 95% confidence level) over a five-day period of time
This month's report analyzes the relationship between oil price volatility and the Dow Jones Industrial Average; charts the potential impacts of an interest rate increase; and examines the impact of a flattening interest rate curve.
The RiskMetrics Group Monthly Risk Report is available online.
"This assemblage of data provides a quick and convenient overview of global risk," said RiskMetrics Group CEO Ethan Berman. "We're presenting this information as part of our ongoing effort to bring important risk information to decision makers in an efficient manner."
"RiskMetrics Group's strength is its practical approach to risk," said RiskMetrics Group Risk Strategist Mike Thompson. "The Monthly Risk Report provides traditional asset managers with an indication of the risk levels of their benchmarks, while offering alternative asset managers a roadmap to opportunity-generating volatilities."