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.

S&P 500 against…

Series	1M	3M	1Y	n 1Y	3Y ↓	3M − 3Y	Beta 1Y
Nasdaq Composite ixic	0.97	0.96	0.96	238	0.96	0.00	0.67	scatter
Nasdaq 100 ndx	0.91	0.91	0.92	252	0.94	−0.03	0.60	scatter
DJIA dji	0.69	0.83	0.83	252	0.87	−0.04	0.83	scatter
Russell 2000 rut	0.76	0.80	0.83	252	0.80	0.00	0.57	scatter
PHLX Semiconductor (SOX) sox	0.78	0.65	0.73	252	0.79	−0.14	0.21	scatter
Bovespa bvsp	0.64	0.21	0.38	231	0.38	−0.16	0.27	scatter
Copper copper	0.50	0.50	0.48	252	0.34	+0.16	0.23	scatter
Bitcoin btc	0.54	0.33	0.46	251	0.25	+0.07	0.14	scatter
FTSE Bursa Malaysia KLCI klci	0.08	0.08	0.07	225	0.22	−0.14	0.09	scatter
CSI 300 csi300	0.42	0.15	0.16	227	0.19	−0.04	0.12	scatter
DXY dxy	−0.32	−0.28	−0.33	252	−0.18	−0.10	−0.81	scatter
USD/IDR usdidr	−0.23	−0.01	0.02	252	−0.17	+0.16	0.02	scatter
LQ45 lq45	0.41	0.28	0.12	234	0.15	+0.12	0.05	scatter
JCI (IHSG) jci	0.41	0.28	0.11	234	0.13	+0.15	0.05	scatter
Gold gold	0.30	0.37	0.30	252	0.12	+0.25	0.13	scatter
Brent brent	−0.53	−0.60	−0.35	252	−0.10	−0.50	−0.08	scatter
INDOGB 10YR id10y	0.20	0.15	−0.03	201	−0.09	+0.23 ⇄	0.00	scatter
UST 10YR ust10y	−0.40	−0.41	−0.36	249	−0.08	−0.33	−0.07	scatter
UST 2YR ust2y	−0.41	−0.32	−0.27	249	−0.02	−0.30	−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 S&P 500 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 ↓

S&P 500 · 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	0.16	0.01	−0.07	−0.11	−0.06	0.05	−0.04	0.03	−0.06	0.02	0.96	0.00	−0.04	0.02	−0.04	0.08	−0.02	−0.06	−0.09	0.00	0.17

Lag +k: today's change in S&P 500 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.