SOURCE: Russell Investments

Russell Investments

August 30, 2012 04:30 ET

The Dog Days of August? Russell Indexes Show U.S. Equity Market Volatility Uptick in August 2012

SEATTLE, WA--(Marketwire - Aug 30, 2012) - From a volatility standpoint, European equity markets appear to be taking a holiday in August, while U.S. markets are even more volatile this August relative to last year, as reflected by the Russell 1000® Index and the Russell Developed Europe Index. Russell Indexes examined equity market volatility in the U.S. and Europe, as illustrated by standard deviation of daily total returns, during the last five Augusts, including this August as of August 27th.

  • After three years of relatively equal levels of August volatility in 2008, 2009 and 2010, the U.S. and European equity markets saw a sharp increase in volatility in August of 2011.

  • This August, Europe has seen a significant drop in market volatility versus 2011, while U.S. equity market volatility has actually increased sharply.

Head of capital markets insight at Russell Investments, John Velis, said:

  • "European equity markets had a nice run in August, spurred in part by the encouraging words of Mario Draghi of the ECB. While we have got used to more volatile Augusts in global markets in recent years from a standard deviation standpoint, this August has proved to be less volatile in Europe. In the US, we saw a clear change in the macroeconomic outlook from one of pessimism to one in which data started to get a little better towards the second half of the month. It is not unusual to see volatility rise in a market where the economic view goes through an inflection point as in the US. We caution however that August's calm in Europe might presage a storm later on this autumn, as the Eurozone faces some crucial events in September."

The Russell Global Index includes approximately 10,000 securities in 47 countries and covers 98% of the investable global market. All securities in the index are classified according to size, region, country and sector. Daily Returns for the main components are available here: