AAPL and MSFT return correlation measured quarter by quarter

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
            ticker,
            date,
            toFloat64(close) AS px,
            lagInFrame(toFloat64(close), 1) 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 ('AAPL', 'MSFT')
          AND date >= '2025-01-01'
          AND date <  '2026-10-01'
    ),
    rets AS
    (
        SELECT ticker, date, px / prev_px - 1 AS ret
        FROM daily
        WHERE prev_px > 0
    ),
    paired AS
    (
        SELECT
            a.date AS d,
            a.ret  AS ret_aapl,
            b.ret  AS ret_msft
        FROM rets AS a
        INNER JOIN rets AS b ON a.date = b.date
        WHERE a.ticker = 'AAPL' AND b.ticker = 'MSFT'
    )
SELECT
    toString(toStartOfQuarter(d))                AS window_start,
    formatDateTime(toStartOfQuarter(d), '%b %Y') AS quarter_label,
    round(corr(ret_aapl, ret_msft), 3)           AS return_corr
FROM paired
GROUP BY window_start, quarter_label
ORDER BY window_start