Daily-return correlation vs price-level correlation, five familiar pairs (2024-2025)

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
    px AS (
        SELECT
            ticker,
            date,
            toFloat64(any(close)) AS close_px
        FROM global_markets.stocks_daily_aggs
        WHERE ticker IN ('KO', 'PEP', 'HD', 'LOW', 'XOM', 'CVX', 'V', 'MA', 'AAPL', 'MSFT')
          AND date BETWEEN '2024-01-01' AND '2025-12-31'
        GROUP BY ticker, date
    ),
    rets AS (
        SELECT
            ticker,
            date,
            close_px,
            close_px / lagInFrame(close_px) OVER (
                PARTITION BY ticker ORDER BY date
                ROWS BETWEEN 1 PRECEDING AND CURRENT ROW
            ) - 1 AS ret
        FROM px
    )
SELECT
    p.pair                                  AS pair,
    round(corr(a.ret, b.ret), 3)            AS return_corr,
    round(corr(a.close_px, b.close_px), 3)  AS price_corr
FROM
(
    SELECT
        tupleElement(t, 1) AS leg_a,
        tupleElement(t, 2) AS leg_b,
        tupleElement(t, 3) AS pair
    FROM
    (
        SELECT arrayJoin([
            ('KO',   'PEP',  'KO / PEP'),
            ('HD',   'LOW',  'HD / LOW'),
            ('XOM',  'CVX',  'XOM / CVX'),
            ('V',    'MA',   'V / MA'),
            ('AAPL', 'MSFT', 'AAPL / MSFT')
        ]) AS t
    )
) AS p
INNER JOIN rets AS a ON a.ticker = p.leg_a
INNER JOIN rets AS b ON b.ticker = p.leg_b AND b.date = a.date
WHERE isFinite(a.ret) AND isFinite(b.ret)
GROUP BY pair
ORDER BY return_corr DESC