Time to Manage Your Risk

01 March 2012

Extreme Gold

Yesterday (February 29th) saw what can only be classified as an extreme downward move in gold prices: A -5.05% change in the spot price over the span of a single day. To see how this event stacked up, we ran GCY0 (the RiskAPI symbol for physical gold) through the system using a start date of December 31st, 2007. Here is what we found:

  • Largest Positive Return: 10.27% (September 17th, 2008)
  • Largest Negative Return: -7.68% (October 10th, 2008)
  • One Standard Deviation: 1.39% (as of February 28th)
  • 99% Confidence Historical Simulation VaR: 3.8% (as of February 28th)
  • By every measure, this was a very rare event. To put it in perspective, out of the 1,077 return events that occurred between 12/31/20007 and 2/28/2012, only 8 exceeded -4% in size, or about 0.083% - less than 1%.

    The results above were calculated using The RiskAPI Add-In, our unique software client which allows fund managers to access a whole spectrum of on-demand portfolio risk analysis calculations.