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• With Greece dominating the headlines, practically all of the considerable volatility in European equities is being driven by larger events opposed to stock- or sector-specific effects. June’s dispersion for the S&P Europe 350® was the lowest on record, while correlation soared close to all-time highs.
• In the U.S., the markets were better insulated. Correlation was up and dispersion was down, but less materially so for the S&P 500®. Developed markets outside the U.S. fell somewhere in between.
• However, neither the Greek crisis nor indeed anything in isolation appears to be driving performances in emerging market equities; correlations remain low and dispersion remains within the usual range.
