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Maximum drawdown against annualized volatility: eight large caps, five years to July 31, 2026

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 2026-08-05, from What Is Maximum Drawdown? Depth vs Recovery.

as of ranking 8×3read in context →
Maximum drawdown against annualized volatility: eight large caps, five years to July 31, 2026 — 8 rows by 3 columns, computed from US exchange, SIP and OPRA data.
tickermax_drawdown_pctannualized_volatility_pct
VZ45.422.6
MSFT37.528
AAPL33.328
CVX28.925.3
SPY25.417
PG24.618.1
JNJ23.717.5
KO20.916.7
Rows × columns
8 × 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 Maximum drawdown against annualized volatility: eight large caps, five years to July 31, 2026, derived from the stored result.
ColumnTypeRangeNotes
ticker text 8 distinct values (AAPL, CVX, JNJ…)
max_drawdown_pct number 20.9 to 45.4 percent
annualized_volatility_pct number 16.7 to 28 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 daily AS (
    SELECT ticker,
           toDate(toTimeZone(window_start, 'America/New_York')) AS session_date,
           argMax(toFloat64(close), window_start) AS close_px
    FROM global_markets.delayed_stocks_minute_aggs
    WHERE ticker IN ('SPY', 'AAPL', 'MSFT', 'KO', 'JNJ', 'CVX', 'VZ', 'PG')
      AND toDate(toTimeZone(window_start, 'America/New_York')) >= toDate('2021-08-01')
      AND toDate(toTimeZone(window_start, 'America/New_York')) <= toDate('2026-07-31')
      AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
           + toMinute(toTimeZone(window_start, 'America/New_York'))) BETWEEN 570 AND 959
    GROUP BY ticker, session_date
),
runs AS (
    SELECT ticker,
           session_date,
           close_px,
           max(close_px) OVER (PARTITION BY ticker ORDER BY session_date
                               ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW) AS running_peak,
           lagInFrame(close_px, 1) OVER (PARTITION BY ticker ORDER BY session_date
                                         ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) AS prev_close
    FROM daily
)
SELECT ticker,
       round(100 * max(1 - close_px / running_peak), 1) AS max_drawdown_pct,
       round(100 * sqrt(252) * stddevSampIf(close_px / prev_close - 1, prev_close > 0), 1) AS annualized_volatility_pct
FROM runs
GROUP BY ticker
HAVING countIf(prev_close > 0) > 20
ORDER BY max_drawdown_pct DESC

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