2016 Was Not a Particularly Volatile Year (for the S&P 500)… AQR

AQR says this about 2016, based on the S&P 500:

“Maybe it’s just me but a lot of end-of-year commentary about financial markets in 2016, implicitly and sometimes explicitly, makes it sound as if it was a crazy year. It wasn’t. In fact, it was amazingly normal.”

“Annualized daily volatility during 2016 came in at 13.1%. Based on rolling same-length periods going back to 1929 this falls at the 47th percentile.3 You say you don’t want to compare to the craziness of the Great Depression? Maybe that leads to everything else looking calm and you don’t think that’s meaningful. That’s reasonable. Well, that same value of 13.1% is at the 54th percentile since WWII and the 42nd percentile since 1990. Pretty darn normal.”

There is more here:  https://www.aqr.com/cliffs-perspective/2016-was-not-a-volatile-year?utm_term=2016%20Was%20Not%20a%20Particularly%20Volatile%20Year&utm_campaign=New%20post%20from%20Cliff%20Asness&utm_content=email&utm_source=Act-On+Software&utm_medium=email&cm_mmc=Ac