Measured Sharpe dispersion across non-overlapping SPY windows, 2006 to 2025

WITH daily AS
(
    SELECT
        date,
        toFloat64(close) / nullIf(lagInFrame(toFloat64(close), 1)
            OVER (ORDER BY date ROWS BETWEEN 1 PRECEDING AND CURRENT ROW), 0) - 1 AS ret
    FROM global_markets.stocks_daily_aggs
    WHERE ticker = 'SPY'
      AND date >= '2005-12-01'
      AND date <  '2026-01-01'
),
indexed AS
(
    SELECT
        ret,
        row_number() OVER (ORDER BY date) AS i
    FROM daily
    WHERE date >= '2006-01-01'
      AND ret IS NOT NULL
),
blocks AS
(
    SELECT
        w,
        intDiv(i, w)                                            AS blk,
        count()                                                 AS n,
        avg(ret) / nullIf(stddevSamp(ret), 0) * sqrt(252)        AS sharpe
    FROM indexed
    CROSS JOIN (SELECT arrayJoin([21, 63, 126, 252, 504]) AS w) AS ws
    GROUP BY w, blk
    HAVING n = w
)
SELECT
    concat(toString(w), ' sessions')                          AS horizon,
    count()                                                   AS block_count,
    round(quantileDeterministic(0.05)(sharpe, blk), 2)        AS sharpe_p05,
    round(quantileDeterministic(0.50)(sharpe, blk), 2)        AS sharpe_p50,
    round(quantileDeterministic(0.95)(sharpe, blk), 2)        AS sharpe_p95,
    round(quantileDeterministic(0.95)(sharpe, blk)
        - quantileDeterministic(0.05)(sharpe, blk), 2)        AS sharpe_band_width
FROM blocks
WHERE sharpe IS NOT NULL
GROUP BY w
ORDER BY w