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.

Amazon (AMZN) against…

Series	1M	3M	1Y	n 1Y	3Y	3M − 3Y ↓	Beta 1Y
PHLX Semiconductor (SOX) sox	0.81	0.09	0.24	238	0.48	−0.39	0.18	scatter
Nasdaq 100 ndx	0.83	0.31	0.47	238	0.67	−0.36	0.81	scatter
Digital Realty (DLR) DLR	0.54	−0.05	0.10	250	0.23	−0.28 ⇄	0.12	scatter
Arista (ANET) ANET	0.50	0.17	0.21	250	0.45	−0.27	0.13	scatter
Ciena (CIEN) CIEN	0.17	0.04	0.11	250	0.29	−0.25	0.05	scatter
Dell (DELL) DELL	0.44	0.05	0.10	250	0.30	−0.25	0.05	scatter
S&P 500 spx	0.90	0.44	0.53	238	0.68	−0.24	1.44	scatter
Coherent (COHR) COHR	0.33	0.13	0.16	250	0.37	−0.23	0.06	scatter
Constellation (CEG) CEG	0.19	0.11	0.18	250	0.29	−0.18	0.13	scatter
Bitcoin btc	0.74	0.01	0.20	239	0.19	−0.18	0.16	scatter
Brent brent	−0.49	−0.24	−0.20	238	−0.11	−0.12	−0.12	scatter
DXY dxy	−0.56	−0.20	−0.18	238	−0.10	−0.09	−1.21	scatter
Copper copper	0.66	0.16	0.19	238	0.24	−0.08	0.23	scatter
LQ45 lq45	−0.13	0.03	0.09	220	0.11	−0.08	0.12	scatter
Gold gold	0.33	0.09	0.09	238	0.02	+0.07	0.11	scatter
USD/IDR usdidr	−0.12	−0.09	−0.09	238	−0.15	+0.07	−0.37	scatter
Eaton (ETN) ETN	0.59	0.39	0.29	250	0.46	−0.07	0.25	scatter
JCI (IHSG) jci	−0.05	0.04	0.08	220	0.10	−0.06	0.11	scatter
INDOGB 10YR id10y	0.03	0.03	0.00	213	−0.03	+0.06 ⇄	0.00	scatter
CoreWeave (CRWV) CRWV	0.22	0.08	0.16	250	0.12	−0.04	0.06	scatter
UST 2YR ust2y	−0.47	0.06	−0.11	238	0.02	+0.04	−0.05	scatter
UST 10YR ust10y	−0.65	−0.01	−0.15	238	0.00	−0.01	−0.08	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 Amazon (AMZN) 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 ↓

Amazon (AMZN) · PHLX Semiconductor (SOX)

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	0.08	0.02	0.05	−0.08	−0.05	0.08	−0.12	−0.05	−0.01	0.09	0.24	0.04	0.04	0.06	0.08	0.00	−0.01	−0.03	0.03	−0.08	−0.03

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