Insights


Insights   •   Volatility

Putting the Virus-led Volatility in Context


Matthew J. Bartolini, CFA
Head of SPDR Americas Research, State Street Global Advisors

Source:Bloomberg Finance L.P. as of 02/26/2020

Source: Bloomberg Finance L.P. as of 02/26/2020, calculations by SPDR Americas Research. 

Source: Bloomberg Finance L.P. as of 02/26/2020, calculations by SPDR Americas Research. 

Historical Performance on Similar Volatility Days Since 1927 Days Avg. 3rd Day Return Avg. Subsequent 1 Mth Return
# of Times with 2 Days of -3% S&P 500 Daily Return 36 1.28% 2.76%
# of Times with more than 2 Days of -3% S&P 500 Daily Return 4    
% of Days Positive   61% 64%
       
       
  Days Avg. 3rd Day Return Avg. Subsequent 1 Mth Return
# of Times with 2 Days of -2% S&P 500 Daily Return 94 0.80% 1.06%
# of Times with more than 2 Days of -2% S&P 500 Daily Return 18    
% of Days Positive   62% 56%
Footnotes
Disclosures