Active Managers Catch Break as U.S. Stock Correlations Collapse
- CBOE S&P 500 implied correlation index fell to record low
- Active performance has declined as 2015 has progressed
This article is for subscribers only.
Stock correlations haven’t just unwound following the equity market meltdowns of August and September -- they’ve come asunder, falling to the lowest level since 2007. That’s good news for active mutual fund managers, who thought they saw their year fall apart in the third quarter.
The collapse can be seen in the Chicago Board Options Exchange’s S&P 500 Implied Correlation Index, which uses options to measure expectations about whether the U.S. equities will move in unison and on Monday slipped to the lowest level ever. The gauge is down 30 percent after reaching a 10-month high amid the Standard & Poor’s 500 Index’s August correction.