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VolX launches “Big Data” risk solution with 1600 risk indices

Thursday, October 27, 2016
Opalesque Industry Update - The VolX Group (VolX), architects of RealVol Instruments and Indices, has launched 1,600 risk indices. This new offering allows market participants access to the data they need to manage asset-specific and systemic risk in the marketplace.

VolX is the first index company to focus its suite of products on price risks as opposed to price levels. Donald Schlesinger, Chief Strategy Officer of VolX, said, “Although academics and practitioners have tried for decades to represent risk with a single number, the task has proven to be far too complex. We solved this conundrum by creating 40 indices on each of 40 key global assets providing a ‘360-degree’ view of the risks that can decimate a portfolio.”

The data have been backfilled, in some cases, more than 50 years, offering a historical perspective over many business cycles. In addition, two models attempt to forecast realized volatility levels. Preliminary research has shown both models to be more accurate predictors than the market itself (as measured by implied volatility). Mr. Schlesinger added, “Our years of effort and deep connections to academia have culminated in this ‘Big Data’ solution.”

VolX has developed RealVol Instruments and RealVol Indices based on realized volatility as defined by the RealVol Formulas. Realized volatility measures movement of an underlying asset regardless of direction. In the future, RealVol Instruments may be listed on a wide variety of underlying assets, as they are designed for every major marketplace: futures, options, securities, and over-the-counter. Currently, RealVol Indices focus on key global assets and segregate risk into 40 styles, encompassing six time frames, five formulas, and two models.

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