XLB Components Realized Volatility Streamgraph
Historical price and realized volatility data
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Components Realized VolatilityAll Realized Volatility Visualizations
About Realized Volatility
Realized volatility (as derived from the square root of variance) is a measurement of the standard deviation of returns of an asset over a given time period, typically annualized.
Realized volatility can be measured many ways. The classical way of calculating realized volatility is by taking the log returns of close to close prices.
Per Euan Sinclair, “there is no uncertainty due to measurement. But there is uncertainty over whether the measure is truly representative of the underlying reality.”
visualization above displays realized volatility over the previous 21 days by applying the Yang-Zhang
method of calculating realized volatility. This measurement utilizes more data points than the typical close-to-close estimator, which results in a measurement that is considered more accurate.
We measure realized volatility for each component of a particular index or ETFs in order to help understand volatility dynamics, and anomalies underneath the surface.
XLB is an exchange traded fund whose portfolio is comprised of US materials sector stocks. This investment seeks to provide the same performance as stocks in the Materials Select Sector Index. The index contains securities from the following industries: chemicals, metals and mining, paper and forest products, containers and packaging, construction materials.