by Fei Mei Chan, Director, Index Investment Strategy, S&P Dow Jones Indices
In step with the July, global markets calmed further in August. Based on the dispersion-correlation map, which provides a framework through which we can assess market volatility, equities have entered a very tranquil environment.
It wasn’t too long ago that correlation spiked in equity markets due to geopolitical events. That heightened correlation was resolved swiftly and benignly last month. Current dispersion for the S&P 500 is near a historical 25-year low (which means the environment remains inauspicious for active management to add value), while correlations are also well below their historical average.
Both dispersion and correlation also declined for the S&P Europe 350. For the S&P Pan Asia BMI, dispersion increased slightly but correlation remains well below average.
Dispersion-Correlation Maps
This article is a publication of S&P Dow Jones Indices LLC. © S&P Dow Jones Indices LLC 2016. S&P® is a registered trademark of S&P Financial Services LLC. Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC. S&P Dow Jones Indices LLC is not an investment advisor. This publication is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold a security, nor is it considered to be investment advice.
Copyright © S&P Dow Jones Indices