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.

PHLX Semiconductor (SOX) against…

Series	1M	3M ↓	1Y	n 1Y	3Y	3M − 3Y	Beta 1Y
Nasdaq 100 ndx	0.91	0.85	0.88	252	0.89	−0.04	2.01	scatter
Nasdaq Composite ixic	0.90	0.73	0.79	240	0.85	−0.13	1.94	scatter
S&P 500 spx	0.75	0.63	0.73	252	0.79	−0.16	2.58	scatter
Russell 2000 rut	0.63	0.59	0.67	252	0.65	−0.06	1.64	scatter
Copper copper	0.58	0.53	0.44	252	0.33	+0.20	0.73	scatter
CSI 300 csi300	0.73	0.40	0.37	229	0.32	+0.09	0.94	scatter
Gold gold	0.33	0.32	0.26	252	0.16	+0.16	0.41	scatter
DJIA dji	0.27	0.32	0.44	252	0.55	−0.24	1.57	scatter
JCI (IHSG) jci	0.13	0.30	0.03	233	0.10	+0.19	0.05	scatter
Bitcoin btc	0.67	0.28	0.32	251	0.24	+0.04	0.33	scatter
Brent brent	−0.65	−0.24	−0.20	252	0.00	−0.23	−0.16	scatter
LQ45 lq45	−0.01	0.21	−0.02	233	0.08	+0.13	−0.04	scatter
Bovespa bvsp	0.58	0.19	0.28	233	0.32	−0.13	0.71	scatter
DXY dxy	−0.21	−0.17	−0.22	252	−0.14	−0.03	−1.89	scatter
UST 10YR ust10y	−0.25	−0.16	−0.22	248	−0.02	−0.14	−0.15	scatter
INDOGB 10YR id10y	−0.01	0.14	0.04	203	−0.02	+0.16 ⇄	0.01	scatter
UST 2YR ust2y	−0.26	−0.13	−0.15	248	0.04	−0.17 ⇄	−0.09	scatter
USD/IDR usdidr	−0.01	0.05	0.07	251	−0.12	+0.17 ⇄	0.37	scatter
FTSE Bursa Malaysia KLCI klci	0.33	0.00	0.00	227	0.12	−0.12	−0.02	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 PHLX Semiconductor (SOX) 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 ↓

PHLX Semiconductor (SOX) · 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	0.04	0.03	−0.03	0.03	0.02	−0.07	−0.07	0.14	−0.06	−0.07	0.88	−0.02	−0.07	0.08	−0.09	−0.06	−0.05	0.03	0.00	0.05	0.12

Lag +k: today's change in PHLX Semiconductor (SOX) 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.