Stock Market Volatility in 2017

One of the surprises for 2017 was the relative calm experienced by capital markets. This past year marked significant decreases in volatility – a change for both Canada and the United States.

Looking at the Canadian S&P TSX Composite Index, November 2017 recorded the lowest volatility in a decade. If we tally up the number of days that we saw either a positive or negative move of 2% in the Canadian equity market, the total amount of days would be zero. Comparing this to a year like 2008 where we saw a remarkable 69 days recording a 2% movement in our index, one can see how docile our market has been in 2017 (see Graph 1 below).

Graph 1: Number of Days With Greater than 2% Swing in Return1
(click on the image below to see a larger version)

In a similar fashion, the S&P500 index in the U.S., recorded its lowest volatility since the 1960s2. Not only did this index not post a negative return in any of the months in 2017, this same benchmark did not record any days with returns higher or lower than 2% in any one trading day.

While positive returns and low market swings put smiles on faces, it is important that investors recognize this is not the historical norm. Table 1 provides historical context to how often on average the U.S. market experienced downswings prior to 2017. Ups and downs are a normal and healthy part of capital markets and we should expect and prepare for them to return.

Table 1: Frequency of Historical Losses for the S&P 5003

Frequency of Losses
S&P 500 1928-2016
Per Year
5% Losses 3
10% Losses 1
15% Losses 1 every 2 years
20% Losses 1 every 3 to 4 years


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1. Chart 1: via Bloomberg
3. Table 1:

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