Low Volatility In Everything

A rising number of investors are anxious about the “bull market in everything”, but the markets are calm, based on rolling 90-day volatility (standard deviation). It may be the calm before the storm, although research on volatility clustering suggests that the tranquil times can roll on for longer than expected. The tide will turn eventually, of course, and perhaps soon, but the rear-view mirror at the moment shows that the landscape is unusually serene across the board for the major asset classes in recent history, based on a set of exchange-traded products via rolling 90-day standard deviation of one-day percentage returns.