The Volatility and Risk Dashboard puts the latest volatility, correlation and credit stats at your fingertips. This report covers global measures of fear and risk, and provides insight into current market trends.
Highlights this month include:
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The S&P 500® continued to trade in the relatively tight range established so far this year, although realized volatility has increased. Stresses in the technology sector, and in stocks more generally carrying higher momentum, were a notable culprit.
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Broadly, cross-market correlations have continued to move down, although the negative correlation of U.S. equities to U.S. Treasuries has slightly strengthened.
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Credit markets showed an increasing preference for quality as high yield CDS rose significantly, broad investment grade slightly less so (proportionally) while large cap and international developed sovereign CDS tightened.
Download this month’s Volatility & Risk Dashboard.
