Volatility

Most days, especially when the market is headed down, the financial news provides estimates of market volatility.  One common estimate that is widely published is the Volatility Index, known as the VIX and sometimes referred to as the fear gauge.  But what do we mean when we talk about market volatility? First off let’s be…

Summary The average correlation of the Dow Jones 30 changes over time ranging from a low of 0.22 to a high of 0.78.  This is the average of the pairwise correlations over 63 trading days.. Lower (higher) correlations may be associated with better (worse) stock picking performance. Higher average correlations seem to be moderately associated…