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Chart 18: European intra-sector realised correlation is near a 10-year Table 3: Personal & household goods, utilities, real-estate, autos and low, which suggests that we are currently in a stock pickers insurance are the top 5 sectors with the lowest 10-yr percentile of intra- environment sector 3m realised correlation Average SXXP 3m inter-sector correlation* Intra-sector 3M correl Average SXXP 3m intra-sector correlation** Sectorticker Sector.name Level 1a elle 100% 4th 10-yr SXQP Pers. & Hous. Goods 17% percentile SX6P Utilities 24% 80% SX86P Real estate 40% SXAP Autos 41% 60% SXIP Insurance 32% SXRP Retail 19% 40% SXTP Travel 26% SXFP Financials 28% 20% ; SX4P Chemicals 28% 3rd 10-yr percentile SXNP industrials 30% 0% SXPP Basic res. 50% b 2B R2RSSHTNNMDTYTOH OOK SXDP Health care 24% a a a SXMP Media 27% SPos P00 SsPA8 P68 P56 8 SXOP Construction 39% Source: BofA Merrill Lynch Global Research. 3m correlations calculated using daily returns and SXKP Telcos 32% assuming current weights. Data from 16-Mar-07 to 16-Jun-17. *Average correlation between each of SXEP Oil & Gas 42% the 19 SXXP sector indices and the other SXXP sector indices. **Average of the 19 intra-sector SX7P Banks 41% 2 correlations (in Euro) where the 19 sector indices are the indices which make up the SXXP index. SX3P Food & bev 31% 25% Note that the average intra-sector correlation calculated using returns in local currencies is also near Sx8P Tech 35% 35% Z nd o . ai Tgearlond2” Miynpercentiley Source: BofA Merrill Lynch Global Research. 3m correlations calculated using daily Euro returns and current weights. Data from 16-Mar-07 to 16-Jun-17. SX7E implied-realised correlation near 5 year high, driven by stock-level divergence SX7E 6m implied correlation has fallen since Mar-17 but the implied-realised correlation spread remains in the 88" 5 year percentile (Chart 19). Notably, the low SX7E 6m realised correlation in 2017 was mostly driven by company-specific rather than region- specific divergence (Chart 20). deg oct Bankof America 12 Global Equity Volatility Insights | 20 June 2017 Merrill Lynch HOUSE_OVERSIGHT_014983