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PHEW! Thursday was quite a day! Spot gold dropped more than $48, or 4.4 percent, dragging gold stocks with it. Well, when you actually look at the losses sustained by the miners, you're apt to think it was the equities that led the descent. The Market Vectors Gold Miners ETF (NYSE Arca: GDX) gave up 5.5 percent yesterday. Yesterday's feature ("Cocktail Talk: A Gold Turnaround?") about the relative volatility of gold mining shares prompted lots of comments. More than few came from holders of the "Golden Dozen," the 12 issues most widely held by HAI readers. Some felt a little put out that we didn't run stats for their stocks. After all, we worked up volatility data for them in a couple of articles before the winter holidays. Well, far be it from me to shortchange folks. Here's how the Golden Dozen fared in yesterday's sell-off, together with the portfolio metrics from our Christmas Eve article, "Gold Stock Volatility's Double Edge." | | | | | Through December 2009 | | Company | Close 3-Feb-10 | Close 4-Feb-10 | Gain/ Loss | Annual Volatility | Sharpe Ratio | Sortino Ratio | | Goldcorp, Inc. (GG) | $35.16 | $33.22 | -5.5% | 44.4% | -1.59 | -1.50 | | Kinross Gold Corp. (KGC) | 17.38 | 16.39 | -5.7 | 47.6 | -1.02 | -0.27 | | Gammon Gold, Inc. (GRS) | 9.38 | 8.83 | -5.9 | 58.8 | 1.28 | 2.01 | | Silver Wheaton Corp. (SLW) | 14.58 | 13.57 | -6.9 | 53.9 | -0.07 | 0.98 | | Coeur d'Alene Mines Corp. (CDE) | 15.24 | 13.99 | -8.2 | 52.9 | -1.51 | -1.86 | | Hecla Mining Corp. (HL) | 5.11 | 4.52 | -11.6 | 65.7 | 3.57 | 3.24 | | Yamana Gold, Inc. (AUY) | 10.49 | 9.85 | -6.1 | 45.2 | -1.41 | 0.98 | | Agnico-Eagle Mines Ltd. (AEM) | 53.72 | 50.43 | -6.1 | 47.2 | -1.44 | -1.15 | | Newmont Mining Corp. (NEM) | 45.87 | 43.54 | -5.1 | 38.2 | -1.21 | -0.21 | | Barrick Gold Corp. (ABX) | 35.91 | 34.00 | -5.3 | 51.7 | -1.13 | -0.68 | | Gold Fields Ltd. (GFI) | 11.94 | 11.14 | -6.7 | 43.8 | -1.39 | -0.91 | | Eldorado Gold Corp. (EGO) | 12.37 | 11.71 | -5.3 | 50.4 | 0.28 | 1.51 | | Average | | | -6.5% | 50.0% | -0.47 | 0.18 |
Now, one day does not a volatility metric make. To get a high annualized volatility value, like Hecla's (NYSE: HL), there needs to be a string of widely varying prices in the sample period. Days like yesterday, however, will tend to increase your stock's volatility reading. Measured by the standard deviation of returns, volatility increases in bear moves, but declines in bullish environments. So, 6.5 percent moves to the downside will wrench your volatility up to more than 6.5 percent gains. With that in mind, we'll run updated volatility stats for our Golden Dozen after we collect a few more data points next week.
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