Dave,
Thanks for the feedback.  I was able to get it working the way you suggested
with the following code.

Sub DataFromSQLTest()

'ADO code to get rs goes here.

 With wsSpeedTest_PivotTable
     .Cells.CurrentRegion.Clear

     'Paste column names.
     For i = 1 To rs.Fields.Count
       .Cells(1, i).Value = rs.Fields(i - 1).Name
     Next I

     'Paste data.
     .Range("A2").CopyFromRecordset rs

     'Insert PivotTable
     Set rPivotTopLeft = .Range("D1")
     With ThisWorkbook.PivotCaches.Add(SourceType:=xlDatabase, _
                                       SourceData:=.Cells.CurrentRegion)
       .CreatePivotTable _
           TableDestination:=rPivotTopLeft, _
           TableName:="MyPivotTable"
     End With

     With .PivotTables("MyPivotTable")
       .PivotFields("Date").Orientation = xlRowField
       .PivotFields("Ticker").Orientation = xlColumnField
       .AddDataField .PivotFields("Price"), "Sum of Return", xlSum

       .DisplayFieldCaptions = False
       .ColumnGrand = False
       .RowGrand = False
     End With

     'Convert pivot table to values.
     Set rPivotBottomRight = .Cells(Rows.Count,
rPivotTopLeft.Column).End(xlUp).End(xlToRight)
     With .Range(rPivotTopLeft, rPivotBottomRight)
       .Copy
       .PasteSpecial Paste:=xlPasteValues, Operation:=xlNone,
SkipBlanks:=False, Transpose:=False
       Application.CutCopyMode = False  'Kill the marching ants.
     End With

     'Delete unneeded data.
     .Columns("A:C").Delete
     .Rows(1).Delete
     .Range("A1").Select

     'Format the data.
     Range(.Range("A2"), .Range("A2").End(xlDown)).NumberFormat = "mmm-yy"
     Union(.Rows(1), .Columns(1)).Font.Bold = True
     .Cells.ColumnWidth = 7.14

   End With

End Sub

-Jeremy