As the old saying goes, birds of a feather flock together. According to new insight from Tabb Group, CME and FTSE Russell, this has also been true in US equity market indexes during times of market stress.
Derivatives practice lead Russell Rhoads at international research and consulting firm TABB Group recently examined correlations between the US large-cap Russell 1000® Index and the US small-cap Russell 2000® Index from January 2000 through December 2018. Analysis showed a direct relationship between the level of market volatility and correlation between the two indexes.
Source: FTSE Russell and TABB Group. Data from January 1, 2000 through December 31, 2018. Past performance is no guarantee of future results. Please see the end for important legal disclosures.
Sean Smith, director, index derivatives, FTSE Russell:
“Market participants rely on indexes from FTSE Russell to provide comprehensive and accurate coverage of US equity markets. And, in the case of the Russell 1000 and Russell 2000 Indexes, there are no gaps or overlaps in US equity market coverage, making these two indexes a very efficient means of gaining broad exposure to the US equity market.”
Tim McCourt, managing director, equity products, CME Group:
“Market participants can benefit from having access to a broad set of US equity market indexes, particularly during times of heightened market volatility when they may choose to hedge the different market cap segments at the same time.”
For more information index-based derivatives from FTSE Russell, go to the FTSE Russell website.
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