This interesting paper , Index Cohesive Force Analysis Reveals That the US Market Became Prone to Systemic Collapses Since 2002, described by this article suggests that the Capital Asset Pricing Model, the backbone of modern day portfolio theory, does not accurately allow for a projection of valuing risk through the term called Beta, when choosing between asset classes: In Figure4 (GRAPH HERE) we show that the average of the systematic risk over all stocks (blue curve) differs from the average of the stock-index correlations (red curve). As in the case of the average correlation, we observe a jump in at the beginning of 2002. However, we did not decipher a trend reverse in the value of as we found for the ICF during the first months of 2010. We note that in a market which behaves as described by the Capital Asset Pricing Model (CAPM) [36], the of the market should equal 1. In such market, as a result of its definition, the ICF should diverge. Hence, our results might indicate that the market dynamics do not follow the CAPM. 

The paper describes a new way of assessing the overall market, the Index Cohesive Force (ICF), defined above. This new factor can capture the stiffness of the market, or put another way, how it can break and have seizures, or how it can dart back and forth like a herd. "the ICF parameter presented here can be further generalized, such as by a normalization of the volatility, or standard deviation of correlations; we propose this normalized ICF parameter as an Herding factor, which allows a quantification of herding in financial markets."