Tuesday, February 22, 2011

Growing Secular Volatility?

The Big Picture notes that today's S&P 500 performance (-2.05%) was the worst in 6 months.

More interesting is the frequency of -2% days over the past 60 years. The chart below shows the number -2% days over 100 trading day periods over that time. As can be seen, while we had a "great moderation" from October 2003 through February 2007 (a whopping 850 trading days without a 2% down day), the frequency seems to be growing steadily since the early 1970's when there are periods of market duress.

Source: Yahoo Finance

1 comment:

  1. You should post the 2% days chart (rising trend) with a CPI chart set the same way (downtrend). I am trying to think of something witty about the relationship but I am coming up blank.