S&P Dow Jones Indices Market Attributes: Correlation & Dispersion

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April saw a huge spike Emerging Market equity dispersion, which attained its highest level since the financial crisis.  There were large spreads in particular between the energy sector and the rest of the market, while on a single country basis, Brazil, China and Russia's U.S. dollar returns were in the mid-teens - versus significant losses in Egypt, India and Indonesia.

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In contrast, April's dispersion figures for the U.S. markets were largely unchanged and the figure for the S&P Ex-U.S. Developed LargeMidCap index was slightly down; European dispersion stabilized.  Outside of emerging markets, equity dispersion broadly remains below average.  Multi-asset dispersion in April was particularly low.

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Correlations remain high in Europe, which spent the month reacting to first to the evolution of the Greek debt crisis and second to the news that the stimulus package announced by the European Central bank has so far failed to prevent deflation.  Correlation in the U.S. and across broad developed and emerging equities fell to below average levels.