Maximum drawdown of the calmest names: the worst peak-to-trough fall over the past year
Answered against 22 years of US equities and 12 years of US options data and published with the query that produced it. This result is stored as of 2026-08-22, from The Lowest-Volatility Stocks.
| ticker | max_drawdown_pct |
|---|---|
| KO | -8.5 |
| SPY | -9.1 |
| JNJ | -10.9 |
| DUK | -11.7 |
| SO | -15.7 |
| PG | -16.1 |
| COST | -16.6 |
| MCD | -22.9 |
- Rows × columns
- 8 × 2
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
ticker |
text | 8 distinct values (COST, DUK, JNJ…) | |
max_drawdown_pct |
number | -22.9 to -8.5 | percent |
Computed from Strasmore's warehouse of US exchange, SIP and OPRA market data. Equity prices are delayed; options greeks and implied volatility are end-of-day. This result is stored, not recomputed on load — it is exactly the numbers that were returned on , and the query below is what returned them.
the exact SQL behind every number
WITH d AS (
SELECT ticker,
toDate(toTimeZone(window_start, 'America/New_York')) AS dt,
argMax(toFloat64(close), toTimeZone(window_start, 'America/New_York')) AS c
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker IN ('SPY','KO','JNJ','PG','MCD','COST','SO','DUK')
AND window_start >= now() - INTERVAL 400 DAY
AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60 + toMinute(toTimeZone(window_start, 'America/New_York'))) BETWEEN 570 AND 959
GROUP BY ticker, dt
),
m AS (
SELECT ticker, dt, c,
max(c) OVER (PARTITION BY ticker ORDER BY dt ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW) AS peak
FROM d
WHERE dt >= today() - 370
)
SELECT ticker,
round(min(c / peak - 1) * 100, 1) AS max_drawdown_pct
FROM m
GROUP BY ticker
ORDER BY max_drawdown_pct DESC
LIMIT 15
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