Index Dashboard: Dispersion, Volatility & Correlation

Also Interesting

• Fixed Income Asset Allocation Insights
• European equity market: the great value rotation and the dividend appeal
• Le Pen is mightier than the sword, but not Emmanuel Macron

October's reputation for higher market risk was maintained, as volatility, correlation and dispersion all rose from September's levels for the S&P Global 1200, and each of its regional components. It was a particularly chaotic month for South American equities. Brazil's equity markets rose by 18%, Mexico's fell by more than 17% and there was a 34% spread between the sectoral performances of Energy (+26%) and Consumer Staples (-8%). Dispersion in the S&P Latin America BMI was literally off the charts this month: we've had to adjust our axis to show October's value of 72.4% annualized dispersion for the regional benchmark. Finally, we highlight yesterday's publication of a new S&P DJI research piece examining how dispersion might be combined with measures of capacity to measure the value of research recommendations, available at this link.