Pairwise daily return correlation, trailing year
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 2026-10-07, from Portfolio Analysis in SQL: Weights to Drawdown.
| pair | correlation |
|---|---|
| JNJ / KO | 0.385 |
| MSFT / NVDA | 0.255 |
| AAPL / KO | 0.142 |
| AAPL / MSFT | 0.137 |
| KO / XOM | 0.127 |
| JNJ / XOM | 0.113 |
| AAPL / NVDA | 0.091 |
| AAPL / JNJ | 0.089 |
| AAPL / XOM | -0.092 |
| KO / MSFT | -0.099 |
| MSFT / XOM | -0.132 |
| NVDA / XOM | -0.195 |
| JNJ / NVDA | -0.214 |
| JNJ / MSFT | -0.241 |
| KO / NVDA | -0.291 |
- Rows × columns
- 15 × 2
- 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 |
|---|---|---|---|
pair |
text | 15 distinct values (AAPL / JNJ, AAPL / KO, AAPL / MSFT…) | |
correlation |
number | -0.291 to 0.385 |
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 px AS
(
SELECT
ticker,
date,
max(toFloat64(close)) AS close
FROM global_markets.stocks_daily_aggs
WHERE ticker IN ('AAPL', 'MSFT', 'NVDA', 'KO', 'JNJ', 'XOM')
AND date >= today() - 420
AND date < today()
GROUP BY ticker, date
),
rets AS
(
SELECT
ticker,
date,
close / lagInFrame(close) OVER (PARTITION BY ticker ORDER BY date
ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) - 1 AS ret
FROM px
)
SELECT
concat(a.ticker, ' / ', b.ticker) AS pair,
round(corr(a.ret, b.ret), 3) AS correlation
FROM rets AS a
INNER JOIN rets AS b ON a.date = b.date
WHERE a.ticker < b.ticker
AND a.date >= today() - 365
AND isFinite(a.ret)
AND isFinite(b.ret)
GROUP BY pair
ORDER BY correlation DESC
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