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

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Dispersion remains low within developed equity markets and recorded close-to-minimum levels for the S&P 500, the S&P Europe 350 and for the S&P Developed Ex-U.S. LargeMidCap BMI in December.  Dispersion in the S&P Emerging Markets BMI continued its upward trend and remains relatively high.

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Meanwhile, the recent volatility in the energy markets and the decoupling (in the U.S.) of high-yield bond performances from equity has resulted in a steady increase in multi-asset dispersion; December’s multi-asset dispersion was the highest since the summer of 2012.

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Europe looks increasingly fragile.  Correlations have been rising steadily since the summer and December’s correlation figure of 0.65 for the S&P Europe 350 was the highest in three years.