Index Dashboard: Dispersion, Volatility & Correlation

S&P Global
By September 2, 2020 13:16

Index Dashboard: Dispersion, Volatility & Correlation

As the global economy continued to inch back towards normality and equity markets recovered ground, most of our reported risk indicators declined in August. The realized volatility of the S&P 500, S&P Composite 1500, S&P Developed Ex-U.S. BMI and S&P Emerging BMI fell to the lowest monthly levels since January, with readings below the long-term average for each. Although equity index volatilities have largely returned to earth, dispersion has declined at a much slower rate from its March highs, and remains well above average in most markets. Sectoral effects have played their part: a hefty 11% separated the best- and worst-performing sectors of the S&P Global 1200 this month. Average pairwise correlations in most indices have fallen to very low levels. Dispersion in the S&P SmallCap 600 and S&P Emerging BMI continues to be remarkably high. This continues a trend that has been developing for several months, suggesting that dispersion in smaller companies and emerging market stocks may remain higher for longer. 

S&P Global
By September 2, 2020 13:16

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