Relationship Lab

How a series has moved with others: the correlation of daily changes (% for prices, bp for rates) over 1 and 3 years, the beta, a rolling correlation and whether one tends to move first. Correlation is not causation, and it changes over time.

Communication services (XLC) against…

Series	1M	3M ↓	1Y	n 1Y	3Y	3M − 3Y	Beta 1Y
Consumer discretionary (XLY) sec_us_discretionary	0.40	0.62	0.64	252	0.75	−0.12	0.54	scatter
Financials (XLF) sec_us_financials	0.35	0.45	0.48	252	0.65	−0.20	0.52	scatter
Brent brent	−0.08	−0.39	−0.25	252	−0.17	−0.22	−0.07	scatter
S&P 500 spx	0.49	0.39	0.54	252	0.51	−0.12	0.68	scatter
Consumer staples (XLP) sec_us_staples	−0.11	0.35	0.23	252	0.29	+0.06	0.24	scatter
UST 10YR ust10y	−0.30	−0.28	−0.30	248	−0.09	−0.18	−0.07	scatter
Real estate (XLRE) sec_us_real_estate	0.20	0.27	0.35	252	0.44	−0.17	0.39	scatter
Energy (XLE) sec_us_energy	−0.09	−0.23	−0.18	252	0.21	−0.44 ⇄	−0.13	scatter
PHLX Semiconductor (SOX) sox	0.20	−0.22	0.04	252	0.19	−0.41 ⇄	0.02	scatter
JCI (IHSG) jci	−0.13	−0.22	0.03	233	0.01	−0.23 ⇄	0.02	scatter
Materials (XLB) sec_us_materials	0.04	0.21	0.28	252	0.51	−0.30	0.25	scatter
UST 2YR ust2y	−0.19	−0.18	−0.25	248	−0.07	−0.11	−0.05	scatter
Nasdaq 100 ndx	0.42	0.18	0.37	252	0.41	−0.23	0.30	scatter
LQ45 lq45	−0.13	−0.15	0.08	233	0.05	−0.19 ⇄	0.05	scatter
Health care (XLV) sec_us_healthcare	−0.10	0.14	0.27	252	0.37	−0.23	0.27	scatter
Bitcoin btc	0.31	0.13	0.23	251	0.12	+0.01	0.09	scatter
INDOGB 10YR id10y	−0.18	−0.05	−0.06	203	−0.06	+0.01	−0.01	scatter
Gold gold	−0.07	−0.05	0.10	252	0.08	−0.13 ⇄	0.05	scatter
USD/IDR usdidr	−0.01	0.04	−0.02	251	−0.09	+0.12 ⇄	−0.04	scatter
DXY dxy	−0.15	−0.04	−0.20	252	−0.12	+0.08	−0.62	scatter
Industrials (XLI) sec_us_industrials	0.06	0.01	0.26	252	0.55	−0.54	0.24	scatter
Copper copper	0.07	0.00	0.23	252	0.26	−0.26	0.13	scatter
Newcastle coal coal	–	–	–	0	–	–	–	scatter

Compared with the headline cross-asset series and the series in the same catalog category and country. Changes are matched on common dates. Beta = change in Communication services (XLC) per unit change in the other series (least squares, 1 year). Amber: fewer than 20 common changes (hover a value for its n). Stability: the 3-month correlation minus the 3-year one; ⇄ marks opposite signs. A change in correlation describes the past; it does not say the relationship has broken or will return. Data ↓

Communication services (XLC) · Consumer discretionary (XLY)

20 60 120 252

Rolling correlation of daily changes over the last 60 common readings, last 3 years.

Who moves first? (1 year)

Lag (readings)	-10	-9	-8	-7	-6	-5	-4	-3	-2	-1	+0	+1	+2	+3	+4	+5	+6	+7	+8	+9	+10
correlation	0.03	0.02	−0.08	−0.19	−0.01	0.13	0.00	−0.05	−0.03	−0.01	0.64	0.04	−0.15	0.02	0.07	0.06	−0.04	−0.13	−0.06	−0.04	0.02

Lag +k: today's change in Communication services (XLC) against the change in Consumer discretionary (XLY) k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.