Metrics: SVAX Dispersion

The SVAX measures cross-sectional dispersion across market sectors.  Construction is different from the DVAX index, as component returns are normalized for volatility before compilation.  The index is therefore not expressed as standard deviation, but as a ratio to aggregate variance.

Inference from SVAX index is similar to inference from DVAX.  High levels indicate high dispersion which usually results in volatility.  Very low SVAX is associated low volatility, and with emerging market weakness.

The SVAX dispersion index is shown below in parallel with our Weightless Sectors Composite. Weightless composites neutralize effects of cap-size, price, and volatility... showing what's going on most broadly across the sample.



To enquire about access and analysis with SVAX Sector Dispersion, you can leave a message back at the Metrics overview page, or use the master checklist of Analytix Services.  Or call directly anytime, at (603) 643-6430.

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