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.
| ticker | max_drawdown_pct | annualized_volatility_pct |
|---|---|---|
| VZ | 45.4 | 22.6 |
| MSFT | 37.5 | 28 |
| AAPL | 33.3 | 28 |
| CVX | 28.9 | 25.3 |
| SPY | 25.4 | 17 |
| PG | 24.6 | 18.1 |
| JNJ | 23.7 | 17.5 |
| KO | 20.9 | 16.7 |
- Rows × columns
- 8 × 3
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
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.
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 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