spy_monthly

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 bars AS
(
    SELECT
        date,
        any(toFloat64(close)) AS c
    FROM global_markets.stocks_daily_aggs
    WHERE ticker = 'SPY'
      AND date >= today() - 790
      AND date <  today()
    GROUP BY date
),
rets AS
(
    SELECT
        date,
        log(c / lagInFrame(c) OVER (ORDER BY date)) AS r
    FROM bars
)
SELECT
    toString(toStartOfMonth(date))                          AS month,
    formatDateTime(toStartOfMonth(date), '%b %Y')           AS month_label,
    round(stddevSamp(r) * sqrt(252) * 100, 1)               AS rv_annualised_pct,
    count()                                                 AS session_count
FROM rets
WHERE isFinite(r)
  AND date >= toStartOfMonth(today() - 730)
  AND date <  toStartOfMonth(today())
GROUP BY month, month_label
HAVING session_count >= 15
ORDER BY month