beta_drift
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 2026-09-28, from how-many-puts-to-hedge-a-portfolio.
| ticker | beta_last_12m | beta_prior_12m | beta_change |
|---|---|---|---|
| NVDA | 1.89 | 1.84 | 0.05 |
| MSFT | 0.97 | 0.92 | 0.05 |
| AAPL | 0.68 | 1.24 | 0.56 |
| JNJ | -0.17 | 0.05 | 0.22 |
| KO | -0.25 | 0.08 | 0.33 |
| XOM | -0.55 | 0.52 | 1.07 |
- Rows × columns
- 6 × 4
- 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 | 6 distinct values (AAPL, JNJ, KO…) | |
beta_last_12m |
number | -0.55 to 1.89 | |
beta_prior_12m |
number | 0.05 to 1.84 | |
beta_change |
number | 0.05 to 1.07 |
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 closes AS
(
SELECT
ticker,
date,
max(toFloat64(close)) AS px
FROM global_markets.stocks_daily_aggs
WHERE ticker IN ('AAPL', 'JNJ', 'KO', 'MSFT', 'NVDA', 'SPY', 'XOM')
AND date >= today() - 730
AND date < today() - 2
GROUP BY ticker, date
),
rets AS
(
SELECT
ticker,
date,
px / prev_px - 1 AS ret
FROM
(
SELECT
ticker,
date,
px,
lagInFrame(px) OVER (PARTITION BY ticker ORDER BY date ASC ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) AS prev_px
FROM closes
)
WHERE prev_px > 0
)
SELECT
ticker,
beta_last_12m,
beta_prior_12m,
round(abs(beta_last_12m - beta_prior_12m), 2) AS beta_change
FROM
(
SELECT
s.ticker AS ticker,
round(covarPopIf(s.ret, m.ret, s.date >= today() - 365) / varPopIf(m.ret, s.date >= today() - 365), 2) AS beta_last_12m,
round(covarPopIf(s.ret, m.ret, s.date < today() - 365) / varPopIf(m.ret, s.date < today() - 365), 2) AS beta_prior_12m
FROM rets AS s
INNER JOIN
(
SELECT date, ret
FROM rets
WHERE ticker = 'SPY'
) AS m ON s.date = m.date
WHERE s.ticker != 'SPY'
GROUP BY s.ticker
HAVING countIf(s.date >= today() - 365) > 60
AND countIf(s.date < today() - 365) > 60
)
ORDER BY beta_last_12m DESC
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