
Assessing Recent Dynamics in the World of Vol
Alpha Exchange
The Importance of Diversification in the Stock Market
As Q2 ended through a month, realized correlation among S&P 500 constituents had dipped below 20. That's in the third percentile of observations over the last three years. In 2022, tech was down 28%, but healthcare was down just 4%. The zigging and zagging of the two largest sectors puts downward pressure on the overall level of realized vol.
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