RocketCap IP Stock Indexes and S&P500 Down Over Last 2 Months

Posted on September 30th, 2011 by admin in Intellectual Property, Market Indexes, Portfolio Diversification, Quant

We computed our RIPSI and RIPSID indexes for the two month period of trading from 8-1-11 to 9-30-11. That period included August’s remarkable drama in the markets, and all threes indexes performed poorly, as the chart below shows:

Gross ROIs for RIPSID vs RIPSI vs S&P 500 for 2 month period ending 9-30-2011








Examining the correlation matrix in our last post, we note that the present cross-correlations have all increased. This is common when markets are driven by political headlines, as the world has seen and we have noted in our previous post.

Cross-Correlations of gross returns for two month time interval ending 9-30-11

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