Risk-ON Risk-Off Index (KCRORO): Spreads (KCROROS)

Source: Federal Reserve Bank of Kansas City  

Release: Risk-On Risk-Off Index  

Units:  Percentage Points, Not Seasonally Adjusted

Frequency:  Daily

The Risk-On Risk-Off (RORO) Index is a multifaceted measure designed to capture the realized variation in global investor risk appetite. The measure uses daily data from asset markets in the United States and the euro area. It presents an aggregation of risk-on risk-off states of the world based on four broad categories reflecting variation in advanced economy credit risk, equity market volatility, funding conditions, and currencies and gold. To infer the overall risk-bearing capacity of international investors, the RORO Index comprises the first principle component of the daily changes in these series. For questions on the data or methodology, please contact the data source.