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September's market dynamics echoed August's: China, U.S. interest rate policy and energy prices dominated the news flow as volatility rocked global markets. High correlations persisted in Europe and in the U.S., while Australia and Canada's markets caught the mood. The S&P/ASX 200's September correlation of 0.70 is the highest in our records.
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The few major idiosyncratic events - company specific news such as Volkswagen or Glencore's travails for example - demonstrated the risks of such highly correlated markets: each took their sectors down with them on the day. None the less, an increasing differentiation between sector performances drove a slight increase in dispersion in and across developed market equities, and across assets.
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