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Crisis Template

Jan 14, 2014 Marc Odo

At Zephyr we recently completed a template that focuses upon short-term “crisis” events. This can be thought of as a variation of our popular “market cycles” templates. The template will show any manager or benchmark during a number of pre-defined market crisis events, typically as short as a few months. While metrics like the Pain Index or the market cycles templates give you a more complete view of downturns, the Crisis template hones in on those times when markets were really at their worst. The following events are detailed:

Greek Showdown: April 2012-May 2012
Euro Crisis & Debt Ceiling Brinkmanship: July 2011-September 2011
Lehman Brothers Collapse: September 2008-February 2009
Start of Real Estate Recession: January 2008-February 2008
Bear Market: January 2002-September 2002
September 11th Attacks: September 2001
NASDAQ Crash: February 2001-March 2001
Dot-Com Bubble Bursts: April 2000-May 2000
Russian Crisis: August 1998
East Asia Crisis: August 1997
Kuwait Invasion: August 1990-September 1990
Black Monday: October 1987

The Crisis template is related to our recent work on Value at Risk. Value at Risk attempts to summarize how bad things get in the rare-but-traumatic periods when markets are melting down. This template provides additional detail about when those tail events occurred. In other words, the data points used to calculate Value at Risk are likely to be those described in the Crisis template.

Like all Zephyr templates, this can be used as-is or modified however you best see fit. If you want to add your own crisis periods or tweak the existing report to your liking you are certainly free to do so. If you need any help, just drop us a line.

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