STRASMORE/EXPLORE 3,256 QUERIES

Annualized volatility vs total return, 25 large caps, calmest to wildest (~2 years)

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 2026-10-04, from The Low-Volatility Anomaly.

as of ranking 25×3read in context →
Annualized volatility vs total return, 25 large caps, calmest to wildest (~2 years) — 25 rows by 3 columns, computed from US exchange, SIP and OPRA data.
tickerannual_vol_pcttotal_return_pct
SPY1641.4
KO17.727.9
JNJ18.959.4
MCD19-7.9
PG19.2-14.5
COST20.612.4
PEP21.1-27.1
MO22.933.5
VZ23.314.6
HD23.8-21.2
XOM24.739.9
JPM24.856.6
WMT24.949.4
HON25.24.9
LMT26.7-3.5
MRK2915.1
NFLX34.17.1
CAT34.7141.7
LLY37.842.1
TXN40.844.7
UNH40.9-34.7
NVDA46.3107.2
ORCL562.3
TSLA59.868.9
AMD62.2352.3
Rows × columns
25 × 3
Computed
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 Annualized volatility vs total return, 25 large caps, calmest to wildest (~2 years), derived from the stored result.
ColumnTypeRangeNotes
ticker text 25 distinct values (AMD, CAT, COST…)
annual_vol_pct number 16 to 62.2 percent
total_return_pct number -34.7 to 352.3 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.

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 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','PEP','WMT','MCD','MO','VZ','XOM','JPM','HD','COST','UNH','MRK','LLY','HON','LMT','CAT','TXN','ORCL','NVDA','TSLA','AMD','NFLX')
      AND window_start >= now() - INTERVAL 800 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
),
r AS (
    SELECT ticker, dt, c,
           c / lagInFrame(c) OVER (PARTITION BY ticker ORDER BY dt) - 1 AS ret
    FROM d
)
SELECT ticker,
       round(stddevSamp(ret) * sqrt(252) * 100, 1) AS annual_vol_pct,
       round((exp(sum(log(1 + ret))) - 1) * 100, 1) AS total_return_pct
FROM r
WHERE ret IS NOT NULL AND ret > -0.5 AND ret < 0.5
GROUP BY ticker
ORDER BY annual_vol_pct
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