Ron Griess of The Chart Store points us to this a fascinating data point about Volatility:

“There has been much discussion about the recent volatility in the stock market. We did a little study to see how 2011 stacked up against prior years. Our S&P data begins in 1928 and that is what we used for this study. We calculated each days point change, removed the minus sign on down days and summed the daily changes for each year. We then divided that summation by the prior year’s ending value. For instance, in 2011 the summation of the daily changes equaled 3,239.78 points. Dividing that by the ending value of 2010 gives us 257.61%. From the table below, you can see by this methodology that 2011 ranks as the seventeenth most volatile year of the period 1928 to 2011. In fact, four other years of the 21st century rank higher than last year: 2000, 2002, 2008 and 2009. Notice that every single year from 1929 to 1939 are included in the top 15.”

Very interesting stuff . . .

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Category: Markets, Technical Analysis

Please use the comments to demonstrate your own ignorance, unfamiliarity with empirical data and lack of respect for scientific knowledge. Be sure to create straw men and argue against things I have neither said nor implied. If you could repeat previously discredited memes or steer the conversation into irrelevant, off topic discussions, it would be appreciated. Lastly, kindly forgo all civility in your discourse . . . you are, after all, anonymous.

I think undertaking a similar type of analysis using the sum total of intraday high minus intraday low would tell a similar, but perhaps more volatility-filled, story.

Feh. Another meaningless and useless attempt at statistics.

It reminds me of your Dilbert strip on New Years Eve.

Choosing the prior year’s ending value as a basis for determining the following year’s volatility is completely arbitrary, and means nothing.

12-31 is literally a random point in the space time continuum.

a williams-esque version of the VIX…i like it…maybe they should make this the new bogey for hedgies

the massive volatility of this year was mostly in bonds and money-markets i guess. a similar version for these markets would be very interesting.

Interesting perhaps-support for the notion that this current mess actually began in 2000. There are only three years in the top 25 that are *not* ’30s or 00s: 75, 87, and ’46.

[...] Putting last year’s volatility into perspective. (Big Picture) [...]

jaymaster,

12-31 is not a random point in the space time continuum. It’s a perpetuated convention which has many meanings, but let me just mention we all file personal taxes with 12-31 as the cut off.

If you want to argue that markets and related statistics are not meaningful to your own life, why bother doing it on the blog about markets and especially without offering any true insight?

People are always fooled by big numbers. One of BR’s New Year’s resolutions ought to be that debt and deficits should always be put in terms of percent of GDP and compared to previous years on that basis.

Usually when one sees a chart of the Dow from ’30 to ’33, the period when the real carnage took place, it is on a large time scale where the curve looks like a cliff dive. A chart showing an expansion of that time period with the y-axis on a percent basis would really show the extreme volatility that investors had to deal with. An overlay with say 2007 to today (again on a percent basis) would be very instructive.

Even though I am more comfortable with annualized standard deviation as the definition of volatility, I think this “distance traveled” metric is actually quite interesting. And as some have commented (and Barry has implied) 2011 wasn’t quite a volatile as it felt using this “distance-traveled” metric. The years 2000, 2002, 2008, and 2009 all ranked ahead of 2011 on this metric.

However, if you take the distance traveled and divide by the absolute value of the yearly change, then 2011 is the champion of the modern era by a long shot. In 2008, the distance travelled had a multiple of 8x vs the actual point change for the year. In 2011, that multiple was 85,870x.

Only 1947 ranked (infinitely) higher, as the S&P was unchanged that year.

Not sure that any of that means anything, but I wonder if the fact that the S&P was nearly unchanged for the year, rendered the daily swings more vivid in our minds – and thus we all couldn’t resist the behavioral urge to overreact (availability heuristic stuff). Could explain why most of us were happy to see 2011 finish, and a new year begin.

[...] http://www.ritholtz.com/blog/2012/01/2011-how-volatile-a-year/ [...]

[...] was an incredible year for global financial markets. Five of the most volatile years in stock market history have now occurred since the year 2000. It seems like the ‘shrinking world’, improved [...]

[...] http://blogs.barrons.com/stockstowatchtoday/2011/12/30/sp-500-ends-heart-stopping-year-down-0-003/ http://www.ritholtz.com/blog/2012/01/2011-how-volatile-a-year/ http://www.bloomberg.com/slideshow/2011-12-23/2011-a-year-of-firsts-remembered.html#slide7 [...]