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Financial research report / presentation slide
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635 KB
Summary
A page from a Bank of America Merrill Lynch report titled 'Global Equity Volatility Insights' dated June 6, 2017. The document contains 'Chart 18,' which analyzes SPX realized dispersion versus realized volatility from 1990 to 2017, highlighting performance during the dotcom bubble. The document bears the Bates stamp 'HOUSE_OVERSIGHT_023582', indicating it was part of a Congressional document production.
Organizations (3)
Timeline (1 events)
1990-03-14 to 2017-06-02
Data range for SPX realized dispersion and volatility analysis
Global Markets
Key Quotes (2)
"Long SPX Top50 dispersion strategies performed the best during the dotcom bubble era, providing adequate convexity during both its formation as well as its bursting"Source
HOUSE_OVERSIGHT_023582.jpg
Quote #1
"Long dispersion provided better convexity vs. outright long vol position both during the 'making' and the 'bursting' of the dotcom bubble"Source
HOUSE_OVERSIGHT_023582.jpg
Quote #2
Full Extracted Text
Complete text extracted from the document (659 characters)
Chart 18: Long SPX Top50 dispersion strategies performed the best during the dotcom bubble era, providing adequate convexity during both its formation as well as its bursting
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Long dispersion provided better convexity vs. outright long vol position both during the 'making' and the 'bursting' of the dotcom bubble
1990
1992
1994
1996
1998
2000
2002
2004
2006
2008
2010
2012
2014
2016
— 2m SPX realized dispersion — 2m SPX realized vol
Source: BofA Merrill Lynch Global Research. Daily data from 14-Mar-90 to 2-Jun-17
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Long dispersion provided better convexity vs. outright long vol position both during the 'making' and the 'bursting' of the dotcom bubble
1990
1992
1994
1996
1998
2000
2002
2004
2006
2008
2010
2012
2014
2016
— 2m SPX realized dispersion — 2m SPX realized vol
Source: BofA Merrill Lynch Global Research. Daily data from 14-Mar-90 to 2-Jun-17
8 Global Equity Volatility Insights | 06 June 2017
Bank of America Merrill Lynch
HOUSE_OVERSIGHT_023582
Bank of America Merrill Lynch
HOUSE_OVERSIGHT_023582
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