{"slug":"etf-relative-strength-alpha-attribution","qid":"sleeve_risk","label":"Annualized volatility and worst single session, trailing two years","post_title":"ETF Relative Strength and Alpha Attribution","post_url":"/blog/etf-relative-strength-alpha-attribution#q-sleeve_risk","columns":["etf","annual_vol_pct","worst_day_pct"],"rows":[{"etf":"XLK","annual_vol_pct":27.6,"worst_day_pct":-6.82},{"etf":"GLD","annual_vol_pct":23.5,"worst_day_pct":-10.27},{"etf":"XLE","annual_vol_pct":23.4,"worst_day_pct":-9.2},{"etf":"QQQ","annual_vol_pct":22.3,"worst_day_pct":-6.21},{"etf":"IWM","annual_vol_pct":21.7,"worst_day_pct":-6.42},{"etf":"XLF","annual_vol_pct":17.6,"worst_day_pct":-7.32},{"etf":"SPY","annual_vol_pct":16.8,"worst_day_pct":-5.85},{"etf":"EFA","annual_vol_pct":16.7,"worst_day_pct":-6.6},{"etf":"XLV","annual_vol_pct":16.2,"worst_day_pct":-5.48},{"etf":"XLU","annual_vol_pct":15.9,"worst_day_pct":-5.56}],"shape":"ranking","sql":"WITH daily AS\n(\n    SELECT\n        ticker,\n        date,\n        toFloat64(close) AS px,\n        lagInFrame(toFloat64(close)) OVER (PARTITION BY ticker ORDER BY date ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) AS prev_px\n    FROM global_markets.stocks_daily_aggs\n    WHERE ticker IN ('SPY', 'QQQ', 'IWM', 'XLK', 'XLE', 'XLF', 'XLV', 'XLU', 'GLD', 'EFA')\n      AND date >= today() - 760\n)\nSELECT\n    ticker                                                   AS etf,\n    round(stddevSamp(px / prev_px - 1) * sqrt(252) * 100, 1) AS annual_vol_pct,\n    round(min(px / prev_px - 1) * 100, 2)                    AS worst_day_pct\nFROM daily\nWHERE prev_px > 0\nGROUP BY ticker\nORDER BY annual_vol_pct DESC","computed_at":"2026-08-22T04:05:29.441792+00:00","elapsed":0.031556168}