Index Dashboard: Dispersion, Volatility & Correlation

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Commentary

After a somewhat volatile but strongly positive January, February brought steadier gains in equity markets. S&P 500 index volatility declined to an annualized 8.3% over the year's shortest month. Although it declined from January's reading, at a shade under 20%, S&P 500 dispersion was higher than might be expected given the low volatility. S&P 500 stock-to-stock correlations fell sharply.