Have the Markets Felt Crazy Lately?

What Our Research Determined May Make You Feel Better

Donald W. Capone III CFA


Although we have been calling for a choppy 2010 from late last year, given the market movements which at times felt rather dramatic even given our expectations, we set out to determine if markets really have been more or less volatile given the recent history.

Using the month of June 2010 as our sample month, we went back for the last 10 years and calculated the daily movements of the markets and compared this average to our June 2010 sample month.
So was June more or less volatile?

In our quick internal poll prior to the research data we estimated that markets felt slightly more volatile than average and blindly guessed about a 20% increase.
On average over the last 10 years for the month of June, here are some of the findings:

Highest Three other than 2010

1. 2002 June Average Daily Volatility 1.35% (Coming out of last recession)
2. 2009 June Average Daily Volatility 1.29%
3. 2008 June Average Daily Volatility 1.24%

Lowest Three

1. 2005 June Average Daily Volatility .51%
2. 2004 June Average Daily Volatility .61%
3. 2001 June Average Daily Volatility .86%

Finally the average for the latest 10 years was 1.03%. Calculating the average for our latest June 2010 we came up with 1.61%.


S&P 500 June 2010 Volatilty Versus 10 Year Monthly Returns

So What Does it all Mean?

The month of June 2010 was a full 60% more volatile than the average of the last 10 years. If you had a few dizzied moments last month your feelings were warranted.

Given our surprise findings we will continue to monitor this comparison analysis in the future. This again confirms our continued belief diversified portfolios with lower risk will be an excellent investor choice now and moving forward.


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