Standard Deviation of Algebraic Changes S&P

日期:2015/06/01

Many ask me why I don't adjust % wise rather than algebraically. A good reason is that the algebraic volatility of the market has not changed in 20 years. In other words the stand dev of a daily change was 14 in 1996 and is 14 today.

Period                          ending lvl      stand dev

12 30 1995- 12 30 1998        1413               12

12 30 1998  12 30 2001        1144               17

01 30 2001 12 30  2004         1204               11



12 30 2004 -12 30 2007        1356               11

12 30 2007- 12 30 2010        1520               19

12 30 2010  12 30 2013        1801               14

12 30 2014-5 30 2015           2108               14  

Another set of mumbo jumbo shibboleths lands in boot hill.