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RaisePartner e-news July 08

Monitoring and modeling the volatility

Keeping an eye on the market volatility is something that most investors do on a daily basis; but using this instantaneous information to systematically ajust a risk model is not that simple.

This month, our Quant Corner column pays a particular attention to the VIX index and its applications to risk modeling.


	RaisePartner provides software components and web services for investment professionals. Through our customized solutions for portfolio optimization and risk analysis, our goal is to help our clients enhance their investment process by bringing together the best of quantitative and qualitative approaches.

RP Quant Global Macro Index

The volatility of the RP Quant Global Macro Index has remained below 5% (annualized) since its creation.

With a volatility close to those of mid-term bonds, the RP Quant Global Macro Index achieves a better performance (between 8% and 12% annualized returns) even in bearish market periods.

The dynamic risk model and the robust portfolio optimization methods behind this quantitative index lie at the source of its stable performance.

More on the RP Quant Global Macro Index

The Quant Corner

VIX (CBOE Volatility Index)
The VIX (the CBOE Volatility Index) is the most widespread benchmark for stock market volatility. This “investor fear gauge”, quoted as a percentage, gives a reliable snapshot of the expected near-term stock volatility based on the S&P500 ... read more

RP Market Watch

			26-Jun-2008 \| Triple-witch day: a not-so-freaky day after all? The latest triple witching day took place on Friday June 20th, as the contracts for stock index futures, stock index options and stock options all expired on the same day. Triple witching days (also known as “freaky Fridays”) happen four times a year on the third Friday of March, June, September and December. This coincident expiration of quarterly options and futures increase the volatility of the market, as traders quickly offs [...]

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Latest newsletters

Monitoring and modeling the volatility

RP Quant Global Macro Index

The Quant Corner

RP Market Watch

Triple-witch day: a not-so-freaky day after all?