A look at the recent moves in the Nikkei 225 index:

Of note are the negative returns (shown in blue in the chart above) since May 1, with the largest being a jaw-dropping -7.32% day on May 23rd.

Volatility shown is rolling, 90-day realized. Calculations are as of 6/13/2015, executed on daily data since 12/31/2012, in JPY. Volatility as calculated is the annualized standard deviation of lognormal daily returns.

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 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.

With the EU debt crisis occupying front page headlines since early August, all eyes have been on the major European stock indexes. Markets have been attempting to come to terms with lackluster EU-zone growth projections, undercapitalized banks, and (worst of all) structural contagion due to the spectre of sovereign default.

Here are the current major Equity indexes and their associated realized volatilities measured since August 1.

The results in column 1 were calculated independent of currency exposure, such that each volatility is based on index returns only. Column 2 index volatilities are measured from a USD perspective in that the results include the volatility of the index as well as the un-hedged currency exposure of a USD-based portfolio manager invested in each index. In all cases except for the FTSE 100, the un-hedged currency exposure is due to the EURUSD exchange rate (for the FTSE the exposure is due to GBPUSD rate).

Of startling note is the wide margin between the Euro-zone index volatilities and that of the UK-based FTSE-100. The decision by UK voters not not participate in the Euro is certainly presenting itself quite starkly in these statistics.

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.