Shanghai Composite Volatility: Are Bull Years or Bear Years Bumpier?
Bottom line: up years averaged 18.4% annualized volatility versus 18.1% for down years — in this sample, up years were the bumpier ones; the full-sample annualized volatility runs about 19.3%.
| Year | Annualized volatility | Annual return |
|---|---|---|
| 2010 | 22.2% | -13.4% |
| 2011 | 18.1% | -22.9% |
| 2012 | 17.1% | +4.6% |
| 2013 | 18.1% | -7.1% |
| 2014 | 17.0% | +53.3% |
| 2015 | 38.2% | +5.6% |
| 2016 | 22.7% | -5.8% |
| 2017 | 8.5% | +5.5% |
| 2018 | 19.4% | -25.5% |
| 2019 | 17.8% | +23.7% |
| 2020 | 20.4% | +12.6% |
| 2021 | 13.8% | +3.9% |
| 2022 | 17.6% | -15.0% |
| 2023 | 11.4% | -4.5% |
| 2024 | 19.7% | +13.1% |
| 2025 | 13.3% | +21.6% |
| 2026 | 15.2% | -9.3% |
Methodology
Standard deviation of daily close-to-close returns within each calendar year, annualized with the square root of 244 (about 244 trading days a year) and expressed in percent. The series uses closing prices only; overnight-gap information beyond its effect on the daily return is not modeled.
What it means
(1) Volatility and drawdown travel together: high-volatility years carry a deeper tail of adverse outcomes, so position sizing is really volatility management. (2) A-share volatility has persistently run above developed-market levels — the arithmetic behind investors' difficulty holding positions. (3) Volatility in 2024-2026 has converged noticeably from the 2015 extremes; the table above gives the year-by-year figures for comparison.
Frequently asked questions
How is annualized volatility calculated?
Standard deviation of daily close-to-close returns multiplied by the square root of 244, grouped by calendar year in this article.
Where does A-share volatility stand relative to its own history?
The latest year (2026, partial) runs about 15.2%; compare it against the year-by-year table above to judge where that sits in the historical range.
Disclaimer: this article is data research built on publicly available finance data — it is not investment advice, not a recommendation, and not an offer to buy or sell any security or futures contract. All figures are recomputable from the CSV files linked on this site.