{"slug":"the-low-volatility-anomaly","qid":"growth","label":"Growth of $100: a calm name (KO), the market (SPY), a wild name (NVDA), weekly","post_title":"The Low-Volatility Anomaly","post_url":"/blog/the-low-volatility-anomaly#q-growth","columns":["week","ko_calm","spy_market","nvda_wild"],"rows":[{"week":"2024-06-10","ko_calm":99.4,"spy_market":100.1,"nvda_wild":102},{"week":"2024-06-17","ko_calm":99.7,"spy_market":100.3,"nvda_wild":98.2},{"week":"2024-06-24","ko_calm":101.1,"spy_market":100.3,"nvda_wild":95.4},{"week":"2024-07-01","ko_calm":101.2,"spy_market":102.3,"nvda_wild":97.2},{"week":"2024-07-08","ko_calm":101.2,"spy_market":103.2,"nvda_wild":99.8},{"week":"2024-07-15","ko_calm":103.7,"spy_market":101.2,"nvda_wild":91.2},{"week":"2024-07-22","ko_calm":106.5,"spy_market":100.4,"nvda_wild":87.4},{"week":"2024-07-29","ko_calm":110.1,"spy_market":98.3,"nvda_wild":82.9},{"week":"2024-08-05","ko_calm":109.1,"spy_market":98.3,"nvda_wild":80.9},{"week":"2024-08-12","ko_calm":109.9,"spy_market":102.2,"nvda_wild":96.3},{"week":"2024-08-19","ko_calm":110.8,"spy_market":103.6,"nvda_wild":99.9},{"week":"2024-08-26","ko_calm":115.1,"spy_market":103.9,"nvda_wild":92.3},{"week":"2024-09-02","ko_calm":113,"spy_market":99.6,"nvda_wild":79.5},{"week":"2024-09-09","ko_calm":113.4,"spy_market":103.6,"nvda_wild":92},{"week":"2024-09-16","ko_calm":113.8,"spy_market":104.7,"nvda_wild":89.7},{"week":"2024-09-23","ko_calm":114,"spy_market":105.3,"nvda_wild":93.8},{"week":"2024-09-30","ko_calm":111.4,"spy_market":105.6,"nvda_wild":96.5},{"week":"2024-10-07","ko_calm":110.5,"spy_market":106.8,"nvda_wild":104.2},{"week":"2024-10-14","ko_calm":111.8,"spy_market":107.8,"nvda_wild":106.7},{"week":"2024-10-21","ko_calm":106.3,"spy_market":106.8,"nvda_wild":109.4},{"week":"2024-10-28","ko_calm":103.2,"spy_market":105.3,"nvda_wild":104.7},{"week":"2024-11-04","ko_calm":101.5,"spy_market":110.3,"nvda_wild":114},{"week":"2024-11-11","ko_calm":98,"spy_market":108,"nvda_wild":109.7},{"week":"2024-11-18","ko_calm":101.5,"spy_market":109.8,"nvda_wild":109.7},{"week":"2024-11-25","ko_calm":101.8,"spy_market":111.1,"nvda_wild":106.9},{"week":"2024-12-02","ko_calm":99.3,"spy_market":112.1,"nvda_wild":110.1},{"week":"2024-12-09","ko_calm":100.3,"spy_market":111.4,"nvda_wild":103.7},{"week":"2024-12-16","ko_calm":99.4,"spy_market":108.9,"nvda_wild":104.3},{"week":"2024-12-23","ko_calm":99.2,"spy_market":109.7,"nvda_wild":106},{"week":"2024-12-30","ko_calm":98,"spy_market":109.1,"nvda_wild":111.8},{"week":"2025-01-06","ko_calm":97,"spy_market":107,"nvda_wild":105},{"week":"2025-01-13","ko_calm":99.6,"spy_market":110.2,"nvda_wild":106.5},{"week":"2025-01-20","ko_calm":98.3,"spy_market":112.1,"nvda_wild":110.2},{"week":"2025-01-27","ko_calm":100.8,"spy_market":111,"nvda_wild":92.8},{"week":"2025-02-03","ko_calm":101.4,"spy_market":110.8,"nvda_wild":100.4},{"week":"2025-02-10","ko_calm":109.4,"spy_market":112.4,"nvda_wild":107.3},{"week":"2025-02-17","ko_calm":113.4,"spy_market":110.6,"nvda_wild":103.8},{"week":"2025-02-24","ko_calm":113.1,"spy_market":109.5,"nvda_wild":96.7},{"week":"2025-03-03","ko_calm":113.4,"spy_market":106.2,"nvda_wild":87.1},{"week":"2025-03-10","ko_calm":109.8,"spy_market":103.8,"nvda_wild":93.9},{"week":"2025-03-17","ko_calm":109,"spy_market":104,"nvda_wild":90.9},{"week":"2025-03-24","ko_calm":111.8,"spy_market":102.5,"nvda_wild":84.7},{"week":"2025-03-31","ko_calm":111.1,"spy_market":93.2,"nvda_wild":72.9},{"week":"2025-04-07","ko_calm":113.3,"spy_market":98.4,"nvda_wild":85.6},{"week":"2025-04-14","ko_calm":115.9,"spy_market":97,"nvda_wild":78.4},{"week":"2025-04-21","ko_calm":114.2,"spy_market":101.5,"nvda_wild":85.8},{"week":"2025-04-28","ko_calm":113.8,"spy_market":104.5,"nvda_wild":88.4},{"week":"2025-05-05","ko_calm":112,"spy_market":104,"nvda_wild":90.1},{"week":"2025-05-12","ko_calm":114.4,"spy_market":109.6,"nvda_wild":104.6},{"week":"2025-05-19","ko_calm":114,"spy_market":106.8,"nvda_wild":101.5},{"week":"2025-05-26","ko_calm":114.5,"spy_market":108.7,"nvda_wild":104.2},{"week":"2025-06-02","ko_calm":113.3,"spy_market":110.4,"nvda_wild":109.5},{"week":"2025-06-09","ko_calm":112.8,"spy_market":110.1,"nvda_wild":109.7},{"week":"2025-06-16","ko_calm":109.3,"spy_market":109.6,"nvda_wild":111.1},{"week":"2025-06-23","ko_calm":111.7,"spy_market":113.4,"nvda_wild":121.9},{"week":"2025-06-30","ko_calm":113.3,"spy_market":115.3,"nvda_wild":123.1},{"week":"2025-07-07","ko_calm":111,"spy_market":115,"nvda_wild":127.4},{"week":"2025-07-14","ko_calm":110.9,"spy_market":115.7,"nvda_wild":133.2},{"week":"2025-07-21","ko_calm":109.8,"spy_market":117.4,"nvda_wild":134.1},{"week":"2025-07-28","ko_calm":109.3,"spy_market":114.6,"nvda_wild":134.2},{"week":"2025-08-04","ko_calm":111.7,"spy_market":117.5,"nvda_wild":141.3},{"week":"2025-08-11","ko_calm":111.1,"spy_market":118.6,"nvda_wild":139.5},{"week":"2025-08-18","ko_calm":111.4,"spy_market":119,"nvda_wild":137.6},{"week":"2025-08-25","ko_calm":109.6,"spy_market":118.9,"nvda_wild":134.7},{"week":"2025-09-01","ko_calm":107.9,"spy_market":119.3,"nvda_wild":129.1},{"week":"2025-09-08","ko_calm":106.4,"spy_market":121.2,"nvda_wild":137.4},{"week":"202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d AS (\n    SELECT ticker,\n           toDate(toTimeZone(window_start, 'America/New_York')) AS dt,\n           argMax(toFloat64(close), toTimeZone(window_start, 'America/New_York')) AS c\n    FROM global_markets.delayed_stocks_minute_aggs\n    WHERE ticker IN ('KO','SPY','NVDA')\n      AND window_start >= now() - INTERVAL 800 DAY\n      AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60\n           + toMinute(toTimeZone(window_start, 'America/New_York'))) BETWEEN 570 AND 959\n    GROUP BY ticker, dt\n),\nr AS (\n    SELECT ticker, dt,\n           c / lagInFrame(c) OVER (PARTITION BY ticker ORDER BY dt) - 1 AS ret\n    FROM d\n),\nf AS (\n    SELECT ticker, dt, ret FROM r WHERE ret IS NOT NULL AND ret > -0.5 AND ret < 0.5\n),\ncum AS (\n    SELECT ticker, dt,\n           100 * exp(sum(log(1 + ret)) OVER (PARTITION BY ticker ORDER BY dt)) AS idx\n    FROM f\n),\nwk AS (\n    SELECT ticker, toMonday(dt) AS week, argMax(idx, dt) AS wv\n    FROM cum GROUP BY ticker, week\n)\nSELECT week,\n       round(maxIf(wv, ticker = 'KO'), 1) AS ko_calm,\n       round(maxIf(wv, ticker = 'SPY'), 1) AS spy_market,\n       round(maxIf(wv, ticker = 'NVDA'), 1) AS nvda_wild\nFROM wk\nGROUP BY week\nORDER BY week","computed_at":"2026-08-22T04:23:06.364950+00:00","elapsed":2.433521002}