We all know that stocks are more volatile than bonds. It is easy to find statements like, “the S&P 500 has a standard deviation of 20.2% but bonds have a standard deviation of only 10.3%”.
Numbers like that are based on historical data — the standard deviation of all returns since 1871 or 1900 or 1927 or whatver. But we have to keep in mind that volatility varies over time. Not every single year sees massive volatility in equities. And even data based on 100-years of returns can be skewed by outliers.
It is amazing how much the Great Depression stands out. Volatility went above 70% during the Great Depression! The only other time it went above 30% was the Panic of 1857. Even during the crashes of 1973, 1987, and 2008 it stayed around that 30% level.