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.

Nasdaq 100 against…

Series	1M	3M	1Y	n 1Y	3Y ↓	3M − 3Y	Beta 1Y
Nasdaq Composite ixic	0.98	0.97	0.97	238	0.99	−0.02	1.04	scatter
S&P 500 spx	0.91	0.91	0.92	252	0.94	−0.03	1.43	scatter
PHLX Semiconductor (SOX) sox	0.93	0.85	0.88	252	0.89	−0.04	0.39	scatter
DJIA dji	0.39	0.59	0.62	252	0.72	−0.13	0.97	scatter
Russell 2000 rut	0.68	0.76	0.74	252	0.69	+0.06	0.80	scatter
Bovespa bvsp	0.72	0.17	0.30	231	0.34	−0.17	0.33	scatter
Copper copper	0.56	0.56	0.47	252	0.33	+0.24	0.34	scatter
Bitcoin btc	0.65	0.36	0.44	251	0.25	+0.11	0.20	scatter
CSI 300 csi300	0.57	0.32	0.27	227	0.25	+0.07	0.30	scatter
FTSE Bursa Malaysia KLCI klci	0.25	0.11	0.05	225	0.18	−0.07	0.11	scatter
USD/IDR usdidr	−0.22	−0.04	0.01	252	−0.17	+0.13	0.02	scatter
DXY dxy	−0.09	−0.21	−0.27	252	−0.16	−0.05	−1.04	scatter
LQ45 lq45	0.47	0.37	0.09	234	0.14	+0.24	0.06	scatter
JCI (IHSG) jci	0.50	0.39	0.10	234	0.14	+0.25	0.07	scatter
Gold gold	0.22	0.32	0.27	252	0.13	+0.18	0.19	scatter
Brent brent	−0.67	−0.50	−0.29	252	−0.09	−0.41	−0.11	scatter
INDOGB 10YR id10y	−0.02	0.09	−0.02	201	−0.08	+0.17 ⇄	0.00	scatter
UST 10YR ust10y	−0.21	−0.29	−0.29	249	−0.05	−0.23	−0.09	scatter
UST 2YR ust2y	−0.29	−0.26	−0.22	249	0.01	−0.27 ⇄	−0.06	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 Nasdaq 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 ↓

Nasdaq 100 · Nasdaq Composite

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	0.15	0.03	−0.07	−0.05	−0.05	0.02	−0.05	0.08	−0.04	−0.01	0.97	0.01	−0.07	0.07	−0.07	0.01	−0.05	−0.06	−0.07	0.01	0.18

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