Volatility approaches 2008 levels

Daily return volatility was more than 3.5% for 2020 through Wednesday's close for the Russell 1000 index, more than four times its previous five-year value. U.S. small-cap equity volatility, as measured by the Russell 2000 index, was higher at about 4%, but to a slightly less degree compared with its midterm averages at 3.8 times its five-year standard deviation.

The parity between the two converged during the year ,with large cap volatility about 89% that of small caps. That number is similar to the 2008 period's 90%, and higher than the previous five-year 82% value.

Contrary to traditional market mechanics, the volatility of value stocks has risen relative to their growth counterparts. At Wednesday's close, the 2020 daily volatility of the Russell 1000 Value index pushed higher than the growth index. Between 2015 and 2019, value's volatility was about 12% lower than growth and was at a similar discount during the final four months of 2008.