Same fund, five lookback windows: SPY maximum drawdown by sample length 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.
| lookback | max_drawdown_pct | worst_point |
|---|---|---|
| 1 year | 9.1 | Mar 2026 |
| 2 years | 19 | Apr 2025 |
| 3 years | 19 | Apr 2025 |
| 5 years | 25.4 | Oct 2022 |
| 10 years | 34.2 | Mar 2020 |
- Rows × columns
- 5 × 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 |
|---|---|---|---|
lookback |
text | 5 distinct values (1 year, 10 years, 2 years…) | |
max_drawdown_pct |
number | 9.1 to 34.2 | percent |
worst_point |
text | 4 distinct values (Apr 2025, Mar 2020, Mar 2026…) |
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 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 = 'SPY'
AND toDate(toTimeZone(window_start, 'America/New_York')) >= toDate('2016-07-01')
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 session_date
),
scoped AS (
SELECT arrayJoin([1, 2, 3, 5, 10]) AS lookback_years,
session_date,
close_px
FROM daily
),
windowed AS (
SELECT lookback_years, session_date, close_px
FROM scoped
WHERE session_date >= subtractYears(toDate('2026-07-31'), lookback_years)
),
runs AS (
SELECT lookback_years,
session_date,
close_px,
max(close_px) OVER (PARTITION BY lookback_years ORDER BY session_date
ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW) AS running_peak
FROM windowed
)
SELECT concat(toString(lookback_years), if(lookback_years = 1, ' year', ' years')) AS lookback,
round(100 * max(1 - close_px / running_peak), 1) AS max_drawdown_pct,
formatDateTime(argMax(session_date, 1 - close_px / running_peak), '%b %Y') AS worst_point
FROM runs
GROUP BY lookback_years
ORDER BY lookback_years