RocketCap IP Stock Indexes Slide Relative to S&P500 for 2 Months Ending 10-30-11

Posted on October 29th, 2011 by admin in Intellectual Property, Market Indexes, Portfolio Diversification

We computed our RIPSI and RIPSID indexes for the two month period of trading from 8-30-11 to 10-30-11. All three indexes performed poorly, as the chart below shows:

Gross ROIs for RIPSID vs RIPSI vs S&P 500 for 2 month period ending 10-30-2011

 

 

 

 

 

 

 

 

We also computed the correlation of returns as exhibited in this figure.

Cross-Correlations of gross returns for two month time interval ending 10-30-11

 

 

 

 

 

While the correlation between RIPSI and RIPSID remains very high, as we expect, their correlations with the S&P500 dropped substantially compared to last month’s 2 month analysis.

Finally, we can see how the individual stock return components of RIPSID and RIPSI performed over the period:

RIPSID component returns:2 mon ending 10-30-11

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