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.

Technology (XLK) against…

Series	1M	3M ↓	1Y	n 1Y	3Y	3M − 3Y	Beta 1Y
Nasdaq 100 ndx	0.96	0.94	0.96	252	0.75	+0.19	1.28	scatter
PHLX Semiconductor (SOX) sox	0.94	0.93	0.91	252	0.80	+0.13	0.53	scatter
S&P 500 spx	0.85	0.79	0.84	252	0.64	+0.14	1.75	scatter
Copper copper	0.61	0.55	0.45	252	0.37	+0.18	0.43	scatter
Consumer staples (XLP) sec_us_staples	−0.56	−0.51	−0.39	252	−0.12	−0.39	−0.69	scatter
Industrials (XLI) sec_us_industrials	0.41	0.50	0.53	252	0.67	−0.17	0.81	scatter
Health care (XLV) sec_us_healthcare	−0.29	−0.37	−0.15	252	0.14	−0.51 ⇄	−0.25	scatter
Gold gold	0.35	0.36	0.25	252	0.21	+0.15	0.23	scatter
Brent brent	−0.58	−0.34	−0.21	252	−0.14	−0.20	−0.10	scatter
JCI (IHSG) jci	0.20	0.33	0.04	233	0.01	+0.32	0.05	scatter
Bitcoin btc	0.63	0.32	0.41	251	0.30	+0.02	0.25	scatter
LQ45 lq45	0.07	0.28	0.01	233	−0.01	+0.29 ⇄	0.01	scatter
UST 10YR ust10y	−0.37	−0.26	−0.23	248	−0.03	−0.22	−0.09	scatter
Energy (XLE) sec_us_energy	−0.43	−0.22	−0.23	252	0.18	−0.41 ⇄	−0.27	scatter
DXY dxy	−0.23	−0.22	−0.24	252	−0.12	−0.10	−1.22	scatter
UST 2YR ust2y	−0.33	−0.21	−0.16	248	0.01	−0.22 ⇄	−0.06	scatter
Consumer discretionary (XLY) sec_us_discretionary	0.58	0.18	0.47	252	0.65	−0.47	0.64	scatter
INDOGB 10YR id10y	0.02	0.11	−0.01	203	0.00	+0.10	0.00	scatter
Financials (XLF) sec_us_financials	0.04	0.10	0.19	252	0.47	−0.37	0.34	scatter
Materials (XLB) sec_us_materials	0.09	0.10	0.29	252	0.49	−0.39	0.43	scatter
Communication services (XLC) sec_us_communication	0.27	−0.08	0.18	252	0.52	−0.61 ⇄	0.30	scatter
USD/IDR usdidr	−0.08	0.08	0.04	251	−0.02	+0.10 ⇄	0.12	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 Technology (XLK) 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 ↓

Technology (XLK) · Nasdaq 100

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	0.12	0.01	−0.06	0.01	−0.02	−0.06	−0.05	0.10	−0.03	0.00	0.96	−0.02	−0.05	0.08	−0.12	−0.06	−0.06	−0.01	−0.05	0.06	0.16

Lag +k: today's change in Technology (XLK) against the change in Nasdaq 100 k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.