Tag Archives: sector correlation

Apr 13, 2015

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…

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