This Hasn’t Happened Since 1995

This Hasn’t Happened Since 1995

Record low correlations between stocks are very likely to increase after the tax reform gets fully priced-in in the second half of 2018. We estimate this will push index volatility up by ~3 points. Perhaps the best example of the impact of correlation on reducing S&P 500 volatility was the market move on Nov 29, when financials and technology stocks moved ~4% relative to each other leaving the S&P 500 index price unchanged (~5 sigma move). That's from JPMorgan's Marko Kolanovic and it un
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