The recent spread of covid19 has also seen rapid changes in asset/sector correlations:

This is a matrix representing the return correlation across multiple assets (Gold, WTI Oil, US 10-Year Rates, US Equity Markets and multiple market sectors; healthcare, utilities, banks, and energy) through Feb 20.

Here is the same matrix through March 5th. Note the higher correlations across all assets other than Gold.

To emphasize the point, the above shows a rolling average matrix cross correlation, showing the average pairwise correlation increasing since the covid19 epidemic hit Western Europe.

All calculations are as of 3/5/2020, executed on daily data since 12/31/2019.

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.

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:

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.

Here are the current realized volatility values for the major precious metals:

Of note is the relatively low volatility of Platinum, which is most likely due to its lack of participation in the flight-to-quality/safe heaven trade resulting out of the US & EU debt crises.

The table above was 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.