Have you ever tried to use mainstream risk metrics for evaluating and managing risk? If so, you know that they tend to focus on the past or current levels of volatility. The potential impact of tail-risk events is often overlooked. Today, Intech® is pleased to introduce a complementary set of risk metrics to help fill this gap:
Our new, interactive monitor is a collection of five metrics we believe are reliable indicators of equity market stress based on our 30-year history of studying volatility.
- Capital Concentration
- Correlation of Returns
- Dispersion of Returns
- Index Efficiency
- Skewness of Returns
Consistent with our descriptive approach to understanding markets, these metrics avoid financial and economic assumptions, including that investors are perfectly rational and efficient at all times or, conversely, that they exhibit universal and constant behavioral anomalies.
You can use the monitor to add insight to market risk regimes, contextualize beta risk management or to simply complement your conventional risk metrics.
Learn more about the Intech Equity Market Stress Monitor®. Download an eBook that serves as a guide to the monitor or our latest quarterly report that offers our analysis of the data.