ETF Performance Analysis for S&P -2.0% Day -- April 27, 2010

Apr 28, 2010 in Screener | Volatility

Volatility spiked on April 27th, lets take a closer look.

First note that while the S&P 500 dropped -2.0%, the higher volatility ETF's are in steeper drawdowns:

What performed well? The usual suspects --- those with negative correlations to equities, including the VIX ETF's, the inverse ETFs from ProShares, long duration US treasuries, precious metals, the U.S. Dollar and the Japanese Yen.


The last chart goes back to focus on U.S. Sector SPDR ETF's. Note again that those with higher volatilities led to largest drawdowns.

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