Hedge ratio refitted each calendar year, two sector pairs
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 2026-08-13, from Pairs Trading and Cointegration Explained.
| year | pep_on_ko_beta | lowes_on_hd_beta |
|---|---|---|
| 2019 | 2.338 | 0.278 |
| 2020 | 1.169 | 0.87 |
| 2021 | 3.345 | 0.628 |
| 2022 | 1.015 | 0.588 |
| 2023 | 2.986 | 0.521 |
| 2024 | 0.546 | 0.635 |
| 2025 | -0.543 | 0.539 |
- Rows × columns
- 7 × 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 |
|---|---|---|---|
year |
number | 2,019 to 2,025 | |
pep_on_ko_beta |
number | -0.543 to 3.345 | |
lowes_on_hd_beta |
number | 0.278 to 0.87 |
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
date,
anyIf(toFloat64(close), ticker = 'PEP') AS pep,
anyIf(toFloat64(close), ticker = 'KO') AS ko,
anyIf(toFloat64(close), ticker = 'LOW') AS lowes,
anyIf(toFloat64(close), ticker = 'HD') AS hd
FROM global_markets.stocks_daily_aggs
WHERE ticker IN ('KO', 'PEP', 'HD', 'LOW')
AND date BETWEEN '2019-01-01' AND '2025-12-31'
GROUP BY date
HAVING ko > 0 AND pep > 0 AND hd > 0 AND lowes > 0
)
SELECT
toYear(date) AS year,
round(covarSamp(pep, ko) / varSamp(ko), 3) AS pep_on_ko_beta,
round(covarSamp(lowes, hd) / varSamp(hd), 3) AS lowes_on_hd_beta
FROM daily
GROUP BY year
ORDER BY year
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