Below is an excel sheet of the annual one, two, and three standard deviation ranges in the SPY, larger ranges indicate volatile markets or fat bell curves. Simply stated, in 2012 for example, it is estimated that 68% of the net changes were within plus or minus $1.10 in the SPY (S&P 500). This turns out to be true, and according to the data, actually 72.5% (more than the estimated 68%) of the net changes were within the aforementioned $1.10. It turns out that 2012 was actually less volatile and more predictable than normal. Since 2003, 71.5%, on average, of the net changes have been within the one-sigma range in the SPY ETF.
It is also interesting to note that the annual various sigma ranges did not correlate with annual returns (R2 = -.20 very weak). The increase in volatility should not therefore be an excuse for underperformance in an investment vehicle to a certain extent.
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