Realized Volatility Above 25%
When 30-day actual vol crosses 25% annualized
Backward-looking 30-day realized volatility crossing 25% annualized means the past month has been historically bumpy. Unlike VIX (forward-looking), this captures what already happened. Median realized vol on the S&P 500 is approximately 14%.
| Date | 1M return | 1Y return | 5Y return |
|---|---|---|---|
| 1929-10-07 | -29.8% | -42.0% | -71.1% |
| 1930-05-05 | +5.7% | -34.9% | -57.1% |
| 1930-10-06 | -10.5% | -46.8% | -33.1% |
| 1931-03-18 | -11.7% | -53.5% | -13.3% |
| 1931-09-14 | -18.4% | -36.7% | +36.6% |
| 1934-05-18 | +3.5% | +2.2% | +15.9% |
| 1934-09-14 | +7.3% | +36.7% | +54.8% |
| 1935-04-16 | +11.3% | +83.7% | +47.0% |
| 1935-08-16 | +10.4% | +49.4% | -3.7% |
| 1936-05-25 | +5.3% | +13.9% | -33.3% |
| 1936-09-17 | +7.9% | -10.9% | -35.9% |
| 1937-05-13 | -2.9% |
What history says
Editorial commentary written by ALAN analysts. Figures cited below are analyst-authored context — they are not derived from the chart above and may reflect different windows or sources.
Only ~8% of rolling 30-day windows since 1928 have shown annualized realized vol above 25%. This is 1.5-2 standard deviations above normal.
Volatility is autocorrelated — high-vol periods persist for weeks but eventually mean-revert. The half-life of a vol spike is roughly 20-30 trading days.
Systematic rebalancing (selling what went up, buying what went down) during high-vol periods has historically added 50-100bp of annual return vs. doing nothing.
Choppy markets are where disciplined rebalancing has historically earned extra return — systematically selling what ran up and buying what fell back has added measurable performance during high-volatility stretches. Consider tightening your rebalancing review from annual to monthly, or switching to threshold bands, for as long as realized volatility sits in this tail.