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.

Materials (XLB) against…

Series	1M	3M	1Y	n 1Y	3Y ↓	3M − 3Y	Beta 1Y
Industrials (XLI) sec_us_industrials	0.45	0.38	0.64	252	0.75	−0.37	0.65	scatter
Financials (XLF) sec_us_financials	0.16	0.40	0.42	252	0.62	−0.22	0.51	scatter
Consumer discretionary (XLY) sec_us_discretionary	0.36	0.36	0.47	252	0.61	−0.25	0.43	scatter
Real estate (XLRE) sec_us_real_estate	0.50	0.38	0.43	252	0.60	−0.21	0.54	scatter
Health care (XLV) sec_us_healthcare	0.09	0.35	0.38	252	0.52	−0.18	0.42	scatter
Communication services (XLC) sec_us_communication	0.04	0.21	0.28	252	0.51	−0.30	0.31	scatter
S&P 500 spx	0.28	0.35	0.52	252	0.49	−0.14	0.72	scatter
Consumer staples (XLP) sec_us_staples	0.53	0.43	0.34	252	0.43	0.00	0.41	scatter
Nasdaq 100 ndx	0.13	0.16	0.36	252	0.39	−0.23	0.32	scatter
PHLX Semiconductor (SOX) sox	0.06	0.03	0.31	252	0.36	−0.33	0.12	scatter
Copper copper	0.15	0.24	0.45	252	0.36	−0.12	0.29	scatter
Energy (XLE) sec_us_energy	0.32	−0.07	−0.01	252	0.35	−0.42 ⇄	−0.01	scatter
Gold gold	0.12	0.37	0.43	252	0.34	+0.02	0.27	scatter
DXY dxy	−0.43	−0.22	−0.31	252	−0.19	−0.03	−1.06	scatter
Brent brent	0.00	−0.37	−0.28	252	−0.18	−0.19	−0.09	scatter
Bitcoin btc	−0.25	0.13	0.23	251	0.15	−0.02	0.09	scatter
LQ45 lq45	0.28	−0.03	0.15	233	0.10	−0.13 ⇄	0.10	scatter
JCI (IHSG) jci	0.16	−0.07	0.16	233	0.10	−0.17 ⇄	0.11	scatter
INDOGB 10YR id10y	−0.07	0.06	−0.10	203	−0.10	+0.16 ⇄	−0.01	scatter
UST 10YR ust10y	−0.37	−0.39	−0.37	248	−0.07	−0.32	−0.10	scatter
UST 2YR ust2y	−0.33	−0.29	−0.29	248	−0.06	−0.23	−0.07	scatter
USD/IDR usdidr	−0.05	0.02	−0.01	251	−0.06	+0.08 ⇄	−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 Materials (XLB) 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 ↓

Materials (XLB) · Industrials (XLI)

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	−0.02	−0.02	−0.02	0.00	0.11	−0.05	−0.04	−0.01	−0.02	0.64	−0.07	−0.07	−0.01	0.06	0.07	0.06	−0.02	0.08	−0.05	0.10

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