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Do winners take all?
Capital concentration measures how the capital is distributed between stocks within an index. An increase means that more
capital is allocated to larger cap stocks. A decrease indicates that capital is moving to smaller cap stocks. Our research has shown that the capital
distribution among stocks is remarkably stable over the long term and tends to inevitably revert to median levels.
How similar are stock returns?
Correlation measures the market-weighted average pair-wise correlation of stocks in the index. It quantifies the
degree of commonality between stocks’ returns, as a fraction of their volatility. As correlations rise, the underlying stocks’ returns tends to move in
tandem with each other as the common component of return – the market – begins to dominate. As correlations decline, there is less commonality
between stocks as a larger component of return among stocks may be explained by idiosyncratic components rather than the market component.
How different are stock returns?
Also known as cross-sectional volatility, this indicator measures whether stocks’ returns relative to their
benchmark are converging (low dispersion) or diverging away (high dispersion). As dispersion increases, underlying stock or portfolio returns begin
to diverge from the overall benchmark. We find that the market will eventually revert back to the long-term levels when return dispersion is
substantially low or high, which is associated with strain on the market.
How easy is it to beat the market?
Market efficiency measures the level of index diversification versus the potential diversification available
given the volatility and correlation characteristics of index constituents. Low market efficiency makes it possible for a skilled manager to achieve
above-market outcomes with substantially lower equity risk through diversification. Conversely, high market efficiency means that reliably
outperforming the index requires taking a similar level of equity risk.
How fat are the tails?
Skewness measures the asymmetry of index returns around the mean. Logarithmic returns tend to exhibit a left-skewed
distribution, meaning the most extreme returns are below the mean, as investors tend to react more strongly to negative news. When there is
irrational exuberance among investors, market returns tend to become less negatively or, even, positively skewed. Conversely, very low levels of
skewness often coincide with the market shock itself, and eventually manifest into positive outcomes as markets stabilize.
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The risk metrics presented are intended to be general in nature and do not constitute investment advice or recommendations by Intech. This information is being provided for informational purposes only, and is not an offer or recommendation of any security or investment product, or a prediction of future results or events. It should not be used as the sole basis for investment decisions. You will bear the sole responsibility of evaluating the merits and risks associated with the use of any content shown if you choose to make any type of decision based on such information. There are numerous other factors related to the markets in general that should be considered before making any investment decision.
Information presented has been obtained from sources believed to be reliable and Intech does everything within its power to ensure that it is current and accurate. However, no representation, or warranty, expressed or implied, is being made as to the accuracy or completeness of information shown as there may be inadvertent technical or factual inaccuracies and typographical errors. We reserve the right to make changes and corrections at any time without notice. Intech cannot be held liable towards the user for any direct or indirect consequence relating to the use of this information. All content is presented by the date(s) published or indicated only, and may be superseded by subsequent market events or other reasons.
Information that is based on past performance or observations is not necessarily a guide to future returns and no representation or warranty, express or implied, is made regarding future performance. The value of investments and their returns can go down as well as up. Investing involves risk, including the loss of principal, fluctuation in value, and total loss of investment.
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