08/06/2021

COVID-19 and Dispersion observations

Share on linkedin
Chalk logo

In Short

Equity dispersion seems to offer the implausible; a long volatility exposure during crises alongside positive carry in most other market scenarios.

Myth or truth – equity dispersion has a long volatility bias during crises?


Equity dispersion seems to offer the implausible; a long volatility exposure during crises alongside positive carry in most other market scenarios. The issue with the long volatility claim is that it is difficult to substantiate in all but the most extreme scenario, as real crises are few and very far between and no two are the same. It is particularly challenging in the case of dispersion, as it is a relatively ‘new’ strategy having only been actively traded for circa 20 years, possibly 30 at a stretch.