IP Index Performance During the Massive Volatility Week Ending 8-12-11

Posted on August 15th, 2011 by admin in Intellectual Property, Market Indexes, Portfolio Diversification, Technology

Last week was dramatically volatile in the equity markets world wide. How did our indexes compare to the overall S&P 500?

We ran the numbers and we have these charts for gross returns and the cross-correlations among those returns:

Gross ROIs for RIPSID vs RIPSI vs S&P 500 for 2 month period ending 8-15-2011

Cross-Correlations of gross returns for 50-day time interval ending 8-15-11








It seems RIPSI and RIPSID did well compared to the S&P 500 over the last 50 days including the high volatility week last week.

Compare the correlations for 50 days ending 8-1-11 to the current correlations. They are roughly stable, except that the correlation between RIPSID and S&P 500 dropped dramatically in the last 2 weeks, from 61% to 40%.

Leave a Reply

More News