In July, dispersion for the S&P 500® rose above 7% for the first time since early 2012. A 10% gap separated the returns of S&P 500 sector leaders Utilities and Consumer Staples from laggards Materials and Energy.
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We welcome Australian, Canadian and Chinese equities to our Correlation and Dispersion dashboards this month. In China, a rout in equities saw stock-to-stock correlation rocket up to 56% last month, the highest since 2002.
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Correlations remain worryingly high in a European market still paying close attention to the Greek debt crisis. Correlations were also high this month in Australia as the equity market digested a slowdown in the Chinese economy and falls across the board in commodity prices.