Download this month's Correlation & Dispersion Index Dashboard.
Highlights include:
- Coming off the multi-year lows registered in our last report, correlation, volatility and dispersion all rose in July.
- Geopolitical risk dominated the headlines; new and material economic sanctions on Russia triggering concerted negative reactions within European equities - correlation duly increased. In the U.S., where an abysmal last day of the month pushed up realized correlation and volatility for the month, no single suspect emerges as likely culprit for the sell-off.
- On a longer-term basis, dispersion remains at the lower end of the range established in the past few years. With the exception of Europe, correlation also remains low.
