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ETF Relative Strength and Alpha Attribution
Annualized volatility and worst single session, trailing two yearsranking · 2026-08-22 · 10×3Preview: 10 ranked values, largest first. 20-session return versus SPY across a nine-fund ETF universeranking · 2026-08-22 · 9×3Preview: 9 ranked values, largest first. Strongest and weakest sleeve versus SPY, by calendar monthseries · 2026-08-22 · 13×4Preview: a 13-point series, roughly flat. Share of each fund's daily variation explained by SPY, trailing two yearsranking · 2026-08-22 · 9×2Preview: 9 ranked values, largest first.
Annualized volatility and worst single session, trailing two years

Annualized volatility and worst single session, trailing two years

most recentas of ranking 10×3read in context →
Annualized volatility and worst single session, trailing two years — 10 rows by 3 columns, computed from US exchange, SIP and OPRA data.
etfannual_vol_pctworst_day_pct
XLK27.6-6.82
GLD23.5-10.27
XLE23.4-9.2
QQQ22.3-6.21
IWM21.7-6.42
XLF17.6-7.32
SPY16.8-5.85
EFA16.7-6.6
XLV16.2-5.48
XLU15.9-5.56
the exact SQL behind every number 
WITH daily AS
(
    SELECT
        ticker,
        date,
        toFloat64(close) AS px,
        lagInFrame(toFloat64(close)) OVER (PARTITION BY ticker ORDER BY date ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) AS prev_px
    FROM global_markets.stocks_daily_aggs
    WHERE ticker IN ('SPY', 'QQQ', 'IWM', 'XLK', 'XLE', 'XLF', 'XLV', 'XLU', 'GLD', 'EFA')
      AND date >= today() - 760
)
SELECT
    ticker                                                   AS etf,
    round(stddevSamp(px / prev_px - 1) * sqrt(252) * 100, 1) AS annual_vol_pct,
    round(min(px / prev_px - 1) * 100, 2)                    AS worst_day_pct
FROM daily
WHERE prev_px > 0
GROUP BY ticker
ORDER BY annual_vol_pct DESC
More from this analysisETF Relative Strength and Alpha Attribution
20-session return versus SPY across a nine-fund ETF universe ranking 9×3 → Share of each fund's daily variation explained by SPY, trailing two years ranking 9×2 → Strongest and weakest sleeve versus SPY, by calendar month series 13×4 → When market headlines publish, by New York clock hour ranking 24×2 → See all 2,173 queries →
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