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.

FTSE 100 against…

Series	1M	3M	1Y	n 1Y	3Y ↓	3M − 3Y	Beta 1Y
S&P 500 spx	0.50	0.22	0.35	236	0.46	−0.25	0.32	scatter
Mexico IPC mxx	0.46	0.41	0.44	245	0.43	−0.02	0.29	scatter
Bovespa bvsp	−0.02	0.17	0.34	243	0.39	−0.22	0.22	scatter
Copper copper	0.36	0.17	0.35	236	0.34	−0.17	0.15	scatter
Nasdaq 100 ndx	0.45	0.05	0.21	236	0.34	−0.29	0.12	scatter
Nifty 50 nifty	0.17	0.19	0.30	229	0.32	−0.13	0.25	scatter
Hang Seng hsi	−0.05	−0.06	0.18	233	0.27	−0.34 ⇄	0.11	scatter
PHLX Semiconductor (SOX) sox	0.24	−0.13	0.14	236	0.27	−0.40 ⇄	0.04	scatter
FTSE Bursa Malaysia KLCI klci	0.17	0.15	0.13	240	0.20	−0.06	0.16	scatter
LQ45 lq45	0.43	0.13	0.14	223	0.20	−0.07	0.06	scatter
Gold gold	−0.01	0.21	0.33	236	0.19	+0.02	0.13	scatter
JCI (IHSG) jci	0.21	0.02	0.11	223	0.19	−0.17	0.05	scatter
INDOGB 10YR id10y	−0.15	−0.18	−0.15	214	−0.16	−0.02	−0.01	scatter
Shanghai Composite shcomp	−0.12	−0.22	0.15	234	0.16	−0.38 ⇄	0.12	scatter
KOSPI kospi	−0.19	−0.26	0.07	229	0.15	−0.41 ⇄	0.01	scatter
UST 10YR ust10y	−0.62	−0.39	−0.25	234	−0.14	−0.25	−0.04	scatter
Bitcoin btc	−0.07	0.12	0.16	241	0.11	0.00	0.04	scatter
CSI 300 csi300	−0.11	−0.21	0.13	235	0.10	−0.31 ⇄	0.08	scatter
UST 2YR ust2y	−0.45	−0.30	−0.21	234	−0.10	−0.21	−0.03	scatter
Brent brent	−0.31	−0.33	−0.36	236	−0.07	−0.26	−0.08	scatter
USD/IDR usdidr	−0.04	0.07	0.00	241	−0.07	+0.15 ⇄	0.00	scatter
DXY dxy	0.01	−0.10	−0.18	236	−0.01	−0.08	−0.41	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 FTSE 100 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 ↓

FTSE 100 · S&P 500

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	−0.01	−0.01	−0.11	−0.13	0.10	−0.11	−0.01	−0.08	−0.07	0.09	0.35	−0.06	0.00	0.03	0.09	0.18	0.00	−0.07	−0.03	0.00	0.02

Lag +k: today's change in FTSE 100 against the change in S&P 500 k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.