Tag Archives: sector dispersion
Plus ça change, plus c’est la même chose
This coming Sunday, December 4, 2016, a constitutional referendum will take place and the citizens of Italy will decide on a proposal by Prime Minister Matteo Renzi that, if passed, would mean major changes to Italy’s legislative system. The Prime Minister has stated his intent to resign if the “No” camp triumphs. The political stakes…
- Categories Equities, Uncategorized
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- Equities, Uncategorized
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Quiet Before the Storm
Quiet Before the Storm? Global markets seemingly remain unperturbed—despite homing in on Election Day in the U.S. Although dispersion ticked up globally from September month-end levels, it is still sitting at below average levels as of October 31 in the U.S. Similarly, correlation is also well below average. Together these coordinates are pointing to particularly…
- Categories Equities
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- Equities
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Sector Dispersion and Active Management
Market volatility is a function of both dispersion and correlation, as shown in this schematic: Dispersion measures the degree to which the components of an index perform similarly. If the components are tightly bunched, dispersion will be low and, other things equal, the index’s volatility will be low. Correlation is a measure of timing; it measures…
- Categories Equities, S&P 500 & DJIA, Strategy
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