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U.S. equities slide in step as volatility returns

The dispersion of returns among the constituent companies of the S&P 500, as measured by cross-sectional volatility, dipped in 2018 as volatility returned to the market. Higher variances were observed in larger companies; while less volatile numbers should be expected out of a larger data set, the gap between the two has closed since this time a year ago.

Overall returns among the index members have declined steadily since the end of January. On the high end, the 75th percentile of the one-year trailing return dropped to about 23.5% from 36.6%, while the median and lower quartile returns fell 10.9% and 9.6%, respectively.