Analysis of 25 Years of Stock Market Volatility

Stock markets go up and down. While it might feel like recent volatility is substantially elevated, that is only true versus the past two years. Long-term data suggests year-to-date stock market oscillations are in-line with historical trends over the past 25 years.

• The percentage of trading days with a move of +/-1% is lower in 2018 than over the past 25 years, including and excluding the 2008-2009 financial crisis. To quantify, 2018 had had 22% of trading days with a move a of +/-1% in the S&P 500 versus a median of 28% over the past 25 years (23% excluding the crisis).
• The percentage of trading days with a move of +1% or greater and the percentage of trading days with a move of -1% or greater are both below the past 25 years. To quantify, 2018 has had 12% of trading days with a move of +1% in the S&P 500 versus a median of 14% over the past 25 years. Additionally, 2018 has 10% of trading days with a move of -1% or greater versus a median of 13% over the past 25 years. Both of these figures are also lower when excluding the time period of the financial crisis from 2008-2009.
• 2017 was an anomaly: it had the lowest number of +/-1% moves in the S&P 500 over the past 25 years by a wide margin (4% of trading days versus median of 28% across 25 years of data). Only 1995 was even remotely close, but even 1995 had nearly 2.5x the frequency of +/1% moves in the S&P 500 versus 2017.
• In every instance the market had a negative absolute return for a given year (highlighted in red in the table above), the number of trading days where the S&P 500 declined by -1% or more was >20% of all trading sessions in that year, versus approximately 10% of all trading days for YTD 2018.

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Source: https://blog.milton.ai/stock-market-volatility/

Submitted November 12, 2018 at 04:56PM by theNonlinearity https://ift.tt/2qI3QBy