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sentix Risk Levels

The sentix Risk Levels provide an indication of the sum of portfolio risks in investors' portfolios. To this end, we ask market participants on a weekly basis whether they hold above-average or below-average portfolio risks.

The question deliberately focuses on an abstract concept of risk, i.e. the source of the risks cannot be clearly determined. Thus, the index always reflects the subjective investor perception of the risk incurred, regardless of the source of the risk. Users of the data should therefore always also consider the monthly data on the positioning behaviour of investors in the individual asset classes as a reference variable.

The risk level data cannot be provided on Bloomberg under the tickers "RISKxxxx". For this reason, the respective data of this group from the third week of a month are published under the tickers "SNTZRLxx" in parallel to the data of the sentix risk aversion as a monthly time series.

How to use the indicator

The portfolio risk levels give an appoximation for investor behaviour on a weekly basis. The correlation of the data to equity portfolio risk is relatively high, so one can expect to have an approximation of the equity position data available only once a month with this index.

The indicator should tend to be evaluated as a contrarian index, as low risk levels indicate adjusted portfolios and a stable environment. In contrast, high risk levels indicate a corresponding tendency to speculate, which can show up as risk on the financial markets.

Figures and examples

sentix portfolio risk levels (private and institutional investors)
Figure: sentix portfolio risk levels (private and institutional investors)

Indicator construction

The portfolio risk data are scored from +2 (++ score) to -2 (-- score) and multiplied by 50. The arithmetic mean is calculated from the results so that the index fluctuates between +100 and -100.

The data are calculated separately for the investor groups private investors and institutional investors. An overall index is not published, but can easily be calculated by the average of the two sub-indices.

Im Paket

sentix Preferences & Behavior (SNPB)

Anwendung

Specifications

  • Code: RISK
  • No. Serien: 2
  • Start: 2015-06-09
  • Rhythm.: weekly
  • Fristigkeit: Lage
  • Investor: Institutionelle, Privatanleger
  • Frei verfügbar: sentix Website

Verwandte Indikatoren

sentix Risk radar, sentix Sentiment Index, sentix Investor positioning

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