Wednesday, April 30, 2014

Volatility differences - watch small caps


Tracking volatility differences suggests that risk is increasing in the small cap world. While EM stocks have seen a fall in volatility, we are seeing small caps close the vol difference that has existed for the last year. The risk relative to the VIX index is also increasing. Relative risk differences are a good guide for what the market is thinking about sector uncertainty and risky sectors are seeing more uncertainty.

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