Overnight, I tested a range of securities on data going back over various time-frames using the CORREL and PEARSON functions in Excel. Deploying each on a variable that was the daily price produced two "top fives" (of highly correlated pairs) that were identical. But when I altered the variable so that it was the daily price change, the effect was significant. The most highly correlated pair was the same, but of the remaining four only one was the same. So the issue of whether to use price or price change (simple or log???) is crucial. But which? And why? Anybody else got ideas?