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% Long dispersion provided better convexity vs. outright long vol position both 80% during the ‘making’ and the ‘bursting’ of the dotcom bubble
70% 60% 50% 40% 30% 20% 10%
0%
QoQ n sts Oo DW Oona FH MW Oo NN ST LO DoD DOD DoD OD ODO G2 8B Oo [> LT LT TV ao DoD DD DD DD QoQ oOo
TT TT TwDaTy~nNI— nd ndIn NN NN N
2m SPX realized vol
2m SPX realized dispersion Source: BofA Merrill Lynch Global Research. Daily data from 14-Mar-90 to 2-Jun-17
deg oes Bankof America 8 Global Equity Volatility Insights | 06 June 2017 Merrill Lynch
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