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.

Alibaba (9988.HK) against…

Series	1M	3M	1Y	n 1Y	3Y	3M − 3Y ↓	Beta 1Y
LQ45 lq45	−0.82	−0.15	0.16	218	0.15	−0.30 ⇄	0.26	scatter
INDOGB 10YR id10y	0.21	0.12	−0.05	207	−0.18	+0.30 ⇄	−0.02	scatter
JCI (IHSG) jci	−0.65	−0.07	0.19	218	0.19	−0.26 ⇄	0.32	scatter
USD/IDR usdidr	0.42	0.15	0.02	234	−0.09	+0.24 ⇄	0.14	scatter
Arista (ANET) ANET	0.39	0.27	0.20	238	0.05	+0.22	0.16	scatter
Gold gold	0.13	−0.16	0.15	230	0.04	−0.20 ⇄	0.23	scatter
Brent brent	−0.38	−0.18	−0.04	230	−0.02	−0.16	−0.03	scatter
DXY dxy	−0.24	−0.02	−0.10	230	−0.12	+0.10	−0.87	scatter
JD.com (9618.HK) 9618.HK	0.59	0.51	0.61	246	0.61	−0.09	0.81	scatter
Meituan (3690.HK) 3690.HK	0.49	0.48	0.54	246	0.57	−0.09	0.59	scatter
Tencent (0700.HK) 0700.HK	0.59	0.62	0.68	246	0.71	−0.09	0.91	scatter
Ciena (CIEN) CIEN	0.60	0.20	0.19	238	0.12	+0.08	0.11	scatter
UST 10YR ust10y	−0.33	−0.04	−0.02	228	−0.12	+0.08	−0.01	scatter
SMIC (0981.HK) 0981.HK	0.38	0.34	0.46	246	0.40	−0.06	0.35	scatter
UST 2YR ust2y	−0.18	−0.13	−0.04	228	−0.07	−0.06	−0.03	scatter
S&P 500 spx	0.39	0.14	0.10	230	0.08	+0.06	0.35	scatter
Copper copper	0.42	0.16	0.15	230	0.21	−0.06	0.25	scatter
Nasdaq 100 ndx	0.50	0.17	0.13	230	0.12	+0.05	0.30	scatter
Xiaomi (1810.HK) 1810.HK	0.50	0.46	0.51	246	0.50	−0.04	0.55	scatter
Bitcoin btc	0.66	0.07	0.03	234	0.03	+0.04	0.03	scatter
Coherent (COHR) COHR	0.46	0.13	0.18	238	0.11	+0.02	0.09	scatter
PHLX Semiconductor (SOX) sox	0.66	0.13	0.17	230	0.14	−0.02	0.17	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 Alibaba (9988.HK) 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 ↓

Alibaba (9988.HK) · LQ45

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	−0.12	0.01	0.01	−0.13	−0.01	−0.06	0.05	0.11	0.05	0.00	0.16	−0.02	0.14	−0.02	−0.14	0.03	−0.02	0.06	0.12	−0.02	−0.12

Lag +k: today's change in Alibaba (9988.HK) against the change in LQ45 k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.