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.

First Trust Cybersecurity (CIBR) against…

Series	1M	3M	1Y	n 1Y	3Y ↓	3M − 3Y	Beta 1Y
iShares Software (IGV) igv	0.91	0.87	0.87	250	0.88	−0.02	0.80	scatter
WisdomTree Cloud (WCLD) wcld	0.91	0.79	0.82	250	0.84	−0.05	0.62	scatter
Nasdaq 100 ndx	0.33	0.42	0.49	240	0.70	−0.28	0.73	scatter
S&P 500 spx	0.29	0.41	0.48	240	0.68	−0.28	1.10	scatter
MSCI ACWI (ETF) acwi	0.26	0.30	0.40	240	0.65	−0.35	0.83	scatter
VanEck Semiconductor (SMH) smh	−0.20	0.22	0.32	250	0.57	−0.35	0.23	scatter
PHLX Semiconductor (SOX) sox	0.17	0.15	0.27	240	0.56	−0.41	0.17	scatter
MSCI EM (ETF) eem	−0.20	0.14	0.27	250	0.44	−0.30	0.31	scatter
KraneShares China Internet (KWEB) kweb	0.03	0.07	0.24	250	0.26	−0.19	0.25	scatter
MSCI Indonesia (EIDO, USD) eido	0.46	0.22	0.12	240	0.25	−0.02	0.13	scatter
Bitcoin btc	0.10	0.12	0.31	239	0.22	−0.10	0.20	scatter
Copper copper	0.12	0.06	0.15	240	0.22	−0.15	0.16	scatter
USD/IDR usdidr	0.34	0.21	0.01	239	−0.15	+0.36 ⇄	0.02	scatter
DXY dxy	0.31	0.01	−0.06	240	−0.14	+0.16 ⇄	−0.36	scatter
LQ45 lq45	0.26	0.19	0.02	221	0.08	+0.11	0.02	scatter
INDOGB 10YR id10y	−0.42	0.06	−0.01	213	−0.07	+0.13 ⇄	0.00	scatter
Gold gold	−0.44	0.06	0.05	240	0.07	−0.01	0.05	scatter
JCI (IHSG) jci	0.24	0.10	0.00	221	0.06	+0.04	0.00	scatter
Brent brent	0.06	−0.20	−0.03	240	0.05	−0.25 ⇄	−0.02	scatter
UST 2YR ust2y	0.06	−0.18	−0.10	238	0.02	−0.20 ⇄	−0.04	scatter
Utilities (XLU) xlu	−0.42	−0.34	−0.22	250	−0.02	−0.32	−0.43	scatter
UST 10YR ust10y	−0.19	−0.20	−0.12	238	−0.01	−0.19	−0.05	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 First Trust Cybersecurity (CIBR) 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 ↓

First Trust Cybersecurity (CIBR) · iShares Software (IGV)

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	0.14	0.00	−0.14	−0.08	−0.07	0.07	−0.07	−0.01	0.03	0.12	0.87	0.05	−0.06	−0.07	−0.04	0.05	−0.07	−0.06	−0.14	0.06	0.11

Lag +k: today's change in First Trust Cybersecurity (CIBR) against the change in iShares Software (IGV) k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.