RiskMetrics Offers Expanded Monthly Risk Analyses

February 11, 2004 (PLANSPONSOR.com) - The RiskMetrics Group has unveiled a new Monthly Risk Report, which will feature an assessment of market risk across the equity, credit, currency and commodity markets.

According to a news release, each monthly report will provide a series of custom analyses, which look at various components of market behavior through risk management, along with a monthly data snapshot, which analyzes the market in terms four major metrics:

  • 52-week return for a stock, bond, or fund
  • risk-adjusted return weighted to reflect the amount of risk taken
  • annualized volatility estimate of how much prices are likely to fluctuate over the next year
  • five-day value-at risk (VaR)  worst-case-scenario (at a 95% confidence level) over a five-day period.

This month’s report analyzes the relationship between oil price volatility and the Dow Jones Industrial Average, charts the potential impacts of an interest rate increase, and examines the impact of a flattening interest rate curve.

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