As the European debt crisis once again makes headlines, with no indications of a quick solution on the horizon, the US equity market has reacted by suffering from a bout of increased volatility. Should there be any doubt as to why, correlation of the S&P 500 to the Euro has been increasing as well. Below, we present a chart showing rolling 90 day realized volatility of the S&500 index (red line) along with rolling 90-day S&P 500 correlation to the Euro currency (blue line).

All calculations are as of 5/22/2012, executed on daily data since 4/1/2012.

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.

2011 was quite the year and we have the numbers to prove it. Below is a trailing one-month realized volatility chart for the S&P 500 index. Of note is the spike in August into September, which coincided with some of the worst news from the EU debt crisis hitting the wires:

With a Greek default deadline looming once again in February, 2012 should be no less interesting.

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.

As all eyes have been on the debt crisis in Europe, increasingly volatile US equity market gyrations have continued unabated. If there were any doubt as to the nature of these daily triple-digit Dow moves and double-digit SP500 moves, one need only look at the recent spike in SP500/EUR correlation. Presented below is a chart showing trailing 1-month correlation of the US market Vs. the Euro.

It will be interesting to see if the recent correlation high of 0.816 is breached and/or if this will be a harbinger of perfect correlation (i.e. 1.0) between the Euro currency and the US stock market.

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.