No. of Recommendations: 3
The speed of the recent factor rotation has translated directly into elevated dispersion. Single-stock dispersion is at extreme levels**. Over the past 30 days, the S&P 500 is down 1.4%, while the average stock in the index has moved 10% in absolute terms, placing the 8.6% dispersion spread in the 97th percentile over the past three decades.** Earlier this month, this spread surged to 10.8% – a 99th percentile event and a 3.5σ outlier over the past thirty years…ortant take-away:
The speed of the recent factor rotation has translated directly into elevated dispersion. Single-stock dispersion is at extreme levels**. Over the past 30 days, the S&P 500 is down 1.4%, while the average stock in the index has moved 10% in absolute terms, placing the 8.6% dispersion spread in the 97th percentile over the past three decades.** Earlier this month, this spread surged to 10.8% – a 99th percentile event and a 3.5σ outlier over the past thirty years…
Jeff
