kurtosis_by_year

Name: kurtosis_by_year
Creator: Strasmore
Published: 2026-10-01
License: https://www.strasmore.com/terms/

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 2026-10-01, from real-returns-vs-random-walks.

as of 2026-10-01 ranking 21×4read in context →

kurtosis_by_year — 21 rows by 4 columns, computed 2026-10-01 from US exchange, SIP and OPRA data.
year	excess_kurtosis	moves_over_2pct	full_window_excess_kurtosis
2006	1.08	2	14.95
2007	1.69	14	14.95
2008	6.4	70	14.95
2009	2.02	50	14.95
2010	2	22	14.95
2011	2.54	33	14.95
2012	0.79	7	14.95
2013	1.35	4	14.95
2014	1.33	4	14.95
2015	2.04	11	14.95
2016	2.21	10	14.95
2017	2.55	0	14.95
2018	3.17	19	14.95
2019	3.06	7	14.95
2020	7.06	42	14.95
2021	0.59	8	14.95
2022	0.32	46	14.95
2023	-0.19	2	14.95
2024	1.7	7	14.95
2025	23.14	14	14.95
2026	0.91	4	14.95

Rows × columns: 21 × 4
Computed: 2026-10-01
Completeness: No missing values
Source: US exchange, SIP and OPRA market data
Licence: Strasmore terms · free, no signup
Formats: JSON · CSV · the SQL below

What each column holds

Column definitions for kurtosis_by_year, derived from the stored result.
Column	Type	Range
`year`	number	2,006 to 2,026
`excess_kurtosis`	number	-0.19 to 23.14
`moves_over_2pct`	number	0 to 70
`full_window_excess_kurtosis`	number	every row is 14.95

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 2026-10-01, and the query below is what returned them.

Run it yourself

This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.

WITH daily AS (SELECT date, argMax(toFloat64(close), _ingest_time) AS px FROM global_markets.stocks_daily_aggs WHERE ticker = 'SPY' AND date >= '2006-01-01' AND date <= '2026-09-30' GROUP BY date),
rets AS (SELECT date, px / prev_px - 1 AS ret FROM (SELECT date, px, lagInFrame(px) OVER (ORDER BY date ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) AS prev_px FROM daily) WHERE prev_px > 0),
full_window AS (SELECT avg(ret) AS mu, stddevPop(ret) AS sd FROM rets),
full_excess AS (SELECT round(avg(pow((r.ret - f.mu) / f.sd, 4)) - 3, 2) AS ek FROM rets AS r CROSS JOIN full_window AS f),
yearly AS (SELECT toYear(r.date) AS yr, r.ret AS ret, e.ek AS ek FROM rets AS r CROSS JOIN full_excess AS e),
year_stats AS (SELECT yr, avg(ret) AS mu, stddevPop(ret) AS sd FROM yearly GROUP BY yr)
SELECT
    y.yr                                             AS year,
    round(avg(pow((y.ret - s.mu) / s.sd, 4)) - 3, 2) AS excess_kurtosis,
    countIf(abs(y.ret) > 0.02)                       AS moves_over_2pct,
    round(any(y.ek), 2)                              AS full_window_excess_kurtosis
FROM yearly AS y
INNER JOIN year_stats AS s ON y.yr = s.yr
GROUP BY y.yr
ORDER BY y.yr

SQL to run

WITH daily AS (SELECT date, argMax(toFloat64(close), _ingest_time) AS px FROM global_markets.stocks_daily_aggs WHERE ticker = 'SPY' AND date >= '2006-01-01' AND date <= '2026-09-30' GROUP BY date),
rets AS (SELECT date, px / prev_px - 1 AS ret FROM (SELECT date, px, lagInFrame(px) OVER (ORDER BY date ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) AS prev_px FROM daily) WHERE prev_px > 0),
full_window AS (SELECT avg(ret) AS mu, stddevPop(ret) AS sd FROM rets),
full_excess AS (SELECT round(avg(pow((r.ret - f.mu) / f.sd, 4)) - 3, 2) AS ek FROM rets AS r CROSS JOIN full_window AS f),
yearly AS (SELECT toYear(r.date) AS yr, r.ret AS ret, e.ek AS ek FROM rets AS r CROSS JOIN full_excess AS e),
year_stats AS (SELECT yr, avg(ret) AS mu, stddevPop(ret) AS sd FROM yearly GROUP BY yr)
SELECT
    y.yr                                             AS year,
    round(avg(pow((y.ret - s.mu) / s.sd, 4)) - 3, 2) AS excess_kurtosis,
    countIf(abs(y.ret) > 0.02)                       AS moves_over_2pct,
    round(any(y.ek), 2)                              AS full_window_excess_kurtosis
FROM yearly AS y
INNER JOIN year_stats AS s ON y.yr = s.yr
GROUP BY y.yr
ORDER BY y.yr

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