S&P Dow Jones Indices: Index Dashboard: Dispersion, Volatility & Correlation

S&P Dow Jones Indices: Index Dashboard: Dispersion, Volatility & Correlation - August 2016

Date 02/09/2016

•	Even for August, it was a quiet month: the S&P 500^® recorded its second-lowest volatility in a decade.

•	Volatility and correlation fell in each of our reported indices, reaching multi-year lows in several cases. Europe provided an exception - despite falling, S&P Europe 350^® volatility remained moderately high.
•	Given the broader decline in volatility, dispersion remained remarkably high. August’s reading of 11.7% for the S&P SmallCap 600^® was the highest since October, 2011.