Idiosyncratic Risk On The Rise, Morgan Stanley Quants WarnMark Melin
Idiosyncratic risk, volatility not explained by the larger beta market environment, is on the rise. Median 63-day rolling risk has not just hit new highs since the financial crisis, the Morgan Stanleyreport dated December 12 noted. But the idiosyncratic risk has risen to highs not seen since October 2000.
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