Relative Analytica       

  Precious Metals Risk

Each precious metal's total risk can be decomposed into integrated risk, segmented risk and specific risk. Integrated risk is common systematic risk across all asset classes. Segmented risk is common systematic risk associated with a segment of the market (precious metals), adjusted for integrated risk. Specific risk is idiosyncratic risk associated with the precious metal. In the service below, the values are derived from our latest weekly risk model dated:

26-05-2021



Ex-ante correlation matrix

A summary of the ex-ante correlations

NameTotal RiskCodeXAU/USDXPD/USDXPT/USDXAG/USD
Gold14.472%XAU/USD100.0%45.4%63.7%74.5%
Palladium23.643%XPD/USD45.4%100.0%42.0%49.1%
Platinum18.953%XPT/USD63.7%42.0%100.0%68.9%
Silver18.555%XAG/USD74.5%49.1%68.9%100.0%
Notes: This table reports the ex-ante correlation matrix for movements in precious metals, together with the annualised total risk (Total Risk).


Ex-ante multi-level risk decomposition

A summary of the multi-level risk decomposition.

Precious metalCodeIntegratedSegmentedSpecificTotal
GoldXAU/USD6.424%3.550%4.498%14.472%
PalladiumXPD/USD4.562%2.521%16.561%23.643%
PlatinumXPT/USD7.191%3.974%7.788%18.953%
SilverXAG/USD9.634%5.324%3.597%18.555%
Notes: This table reports the decompostion of total annualised risk (Total) into integrated risk, segmented risk and specific risk. Integrated risk is common systematic risk across all asset classes. Segmented risk is common systematic risk associated with a segment of the market (precious metals), adjusted for integrated risk. Specific risk is idiosyncratic risk associated with the precious metal. It should be noted that the risk values are marginals based on the contribution to risk, such that the sum of integrated, segmented and specific is equal to the total risk.



Value-at-Risk

A summary of the value-at-risk for total risk

99.0% VaR97.5% VaR95.0% VaR90.0% VaRTotal Risk
Gold-33.667%-28.365%-23.804%-18.547%14.472%
Palladium-55.002%-46.340%-38.889%-30.300%23.643%
Platinum-44.091%-37.147%-31.175%-24.289%18.953%
Silver-43.165%-36.367%-30.520%-23.779%18.555%
Notes: This table reports the value-at-risk (VaR) for different percentiles, together with the annualised total risk (Total Risk).



Expected Shortfall

A summary of the expected shortfall for total risk

99.0% ES97.5% ES95.0% ES90.0% ESTotal Risk
Gold-38.571%-33.833%-29.852%-25.398%14.472%
Palladium-63.014%-55.273%-48.769%-41.493%23.643%
Platinum-50.514%-44.308%-39.094%-33.262%18.953%
Silver-49.453%-43.378%-38.273%-32.564%18.555%
Notes: This table reports the expected shortfall (ES) for different percentiles, together with the annualised total risk (Total Risk).