Volatility & Return Cone – Equity, FX, Bond

I am going to show the return and volatility cones[1] for a number of equity indices, currency pairs and bond yield indices in this post.   The graphs are pretty self-explanatory.  I prepare the graphs as a way to help myself to understand better the markets I have an interest in. The data covers the period between 1990-01-01 to 2014-08-22. The horizontal axis records the length sliding window when carrying out the periodic return and annualised volatility calculation. The orange dotted line shows the current market (as of 2014-08-22) when comparing to the historical level.

Equity index

 

Return Cone for S&P 500
Return Cone for S&P 500

Volatility Cone for S&P500.
Volatility Cone for S&P500.

Return Cone for Russell 2000
Return Cone for Russell 2000

Volatility Cone for Russell 2000
Volatility Cone for Russell 2000

Return Cone for Stoxx 50
Return Cone for Stoxx 50

Volatility Cone for Stoxx 50
Volatility Cone for Stoxx 50

Return Cone for DAX
Return Cone for DAX

Volatility Cone for DAX
Volatility Cone for DAX

Return Cone for Hang Seng Index
Return Cone for Hang Seng Index

Volatility Cone for Hang Seng Index
Volatility Cone for Hang Seng Index

Return Cone for TOPIX
Return Cone for TOPIX

Volatility Cone for TOPIX
Volatility Cone for TOPIX

Currency & Gold

Return Cone for GBPUSD
Return Cone for GBPUSD

Volatility Cone for GBPUSD
Volatility Cone for GBPUSD

Return Cone for AUDUSD
Return Cone for AUDUSD

Volatility Cone for AUDUSD
Volatility Cone for AUDUSD

Return Cone for USDJPY
Return Cone for USDJPY

Volatility Cone for USDJPY
Volatility Cone for USDJPY

Return Cone for Gold
Return Cone for Gold

Volatility Cone for Gold
Volatility Cone for Gold

Bond Yield

Needs to be a bit careful when interpreting the meaning of yield return here. Say the yield falls from 4% to 3% in the period, the return would be shown as -20%. It might be more intuitive if absolute yield move is shown instead.

Return Cone for US 10Y Govt Bond Yield
Return Cone for US 10Y Govt Bond Yield

Volatility Cone for US 10Y Govt Bond Yield
Volatility Cone for US 10Y Govt Bond Yield

Return Cone for US 30Y Govt Bond Yield
Return Cone for US 30Y Govt Bond Yield

Volatility Cone for US 30Y Govt Bond Yield
Volatility Cone for US 30Y Govt Bond Yield

Return Cone for German 10Y Govt Bond Yield
Return Cone for German 10Y Govt Bond Yield

Volatility Cone for German 10Y Govt Bond Yield
Volatility Cone for German 10Y Govt Bond Yield

Return Cone for UK 10Y Govt Bond Yield
Return Cone for UK 10Y Govt Bond Yield

Volatility Cone for UK 10Y Govt Bond Yield
Volatility Cone for UK 10Y Govt Bond Yield