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.

TSMC ADR (TSM) against…

Series	1M	3M	1Y	n 1Y	3Y ↓	3M − 3Y	Beta 1Y
PHLX Semiconductor (SOX) sox	0.73	0.90	0.80	240	0.80	+0.10	0.69	scatter
Nasdaq 100 ndx	0.83	0.81	0.77	240	0.77	+0.04	1.51	scatter
S&P 500 spx	0.76	0.62	0.69	240	0.69	−0.07	2.10	scatter
Coherent (COHR) COHR	0.67	0.68	0.56	250	0.65	+0.03	0.26	scatter
Eaton (ETN) ETN	0.85	0.71	0.65	250	0.62	+0.08	0.66	scatter
Arista (ANET) ANET	0.61	0.64	0.50	250	0.58	+0.06	0.37	scatter
Ciena (CIEN) CIEN	0.55	0.71	0.52	250	0.46	+0.25	0.29	scatter
Constellation (CEG) CEG	0.68	0.42	0.42	250	0.46	−0.04	0.36	scatter
CoreWeave (CRWV) CRWV	0.66	0.72	0.53	250	0.44	+0.28	0.22	scatter
Dell (DELL) DELL	0.32	0.45	0.32	250	0.39	+0.06	0.17	scatter
Digital Realty (DLR) DLR	0.76	0.21	0.30	250	0.36	−0.15	0.45	scatter
Copper copper	0.71	0.62	0.39	240	0.24	+0.38	0.56	scatter
Bitcoin btc	0.60	0.25	0.25	239	0.19	+0.06	0.22	scatter
USD/IDR usdidr	0.19	0.14	0.05	239	−0.19	+0.32 ⇄	0.23	scatter
JCI (IHSG) jci	−0.15	0.27	0.04	221	0.17	+0.10	0.06	scatter
LQ45 lq45	−0.17	0.21	0.02	221	0.13	+0.08	0.02	scatter
Gold gold	0.24	0.27	0.20	240	0.13	+0.14	0.27	scatter
UST 2YR ust2y	−0.52	−0.08	−0.14	238	0.10	−0.18 ⇄	−0.08	scatter
DXY dxy	−0.22	−0.16	−0.19	240	−0.09	−0.07	−1.42	scatter
INDOGB 10YR id10y	0.05	0.13	0.01	213	−0.05	+0.19 ⇄	0.00	scatter
Brent brent	−0.62	−0.21	−0.25	240	−0.05	−0.16	−0.17	scatter
UST 10YR ust10y	−0.73	−0.14	−0.24	238	0.03	−0.17 ⇄	−0.14	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 TSMC ADR (TSM) 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 ↓

TSMC ADR (TSM) · PHLX Semiconductor (SOX)

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	0.02	0.04	0.01	0.02	−0.03	−0.05	−0.02	0.05	−0.13	−0.07	0.80	−0.08	−0.06	0.06	−0.09	−0.10	−0.02	0.11	−0.02	0.01	0.09

Lag +k: today's change in TSMC ADR (TSM) against the change in PHLX Semiconductor (SOX) k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.