Tag Archives: dispersion

A New Eden, Or Fewer Excuses

In our May dispersion dashboard, we note that “If there is ever such thing as a “stock-pickers’ market”, then the month of May 2017 – at least in some regions – might be the closest approximation we have seen for a decade.” The subject of what, exactly a “stock-pickers’ market” might look like, and how Read more […]

Valuations Are High but Dispersion Is Low

“Stocks Have Froth but No Bubble,” in today’s Wall Street Journal argues that while stocks are sitting at the highest valuations seen in many years, the market is not in a bubble.  Despite similarities to early 2000 by some measures, other distinguishing features of trading bubbles (such as high trading volume and high leverage) are Read more […]

Remarkably Unremarkable

In geopolitical terms 2016 was a tumultuous year. From the outcome of the Brexit referendum to the surprising conclusion of the U.S. presidential election, 2016 was a year of political surprises. The markets, braced or not, reacted differently in each case. We saw heightened correlation in the aftermath of Brexit and observed higher dispersion immediately Read more […]

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 Read more […]

Back to Normal…Almost

It’s been a roller coaster week in the aftermath of the startling conclusion to the U.S. Presidential election on November 8, 2016.   As recently as a week before the election, equity markets were quite calm, although volatility levels recognized the possibility of a surprise Trump victory.  When that victory occurred, U.S. futures declined significantly before Read more […]

Winners and Losers in Trump’s Electoral Surprise

Donald Trump’s unexpected success initially threatened to send the U.S. equity markets into steep decline.  Yet as I write, the S&P 500 has moved very little since yesterday’s close (it is up a little), while the VIX has fallen dramatically. So why (or how) has volatility remained so low this morning when everyone expected it to Read more […]

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 Read more […]

The Worst of Both Worlds

For active managers, investment results are partly a function of skill and partly a function of the environment in which that skill is exercised.  Even perfect foresight has only conditional value.  Imagine, for example, a manager who can always identify the top quintile of performers in a given market.  If the top quintile outperforms the index as Read more […]

The Most Tranquil of Times

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 Read more […]

Calm After the Storm

The dispersion-correlation map helps us to understand the dynamics of market volatility better. Last month we observed high levels of correlation in markets across the globe following the unexpected results of the Brexit referendum. High correlation levels can be a reflection of market fragility. However, as current dispersion and correlation levels indicate, the heightened readings Read more […]