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.

US 30Y mortgage rate against…

Series	1M	3M	1Y	n 1Y	3Y	3M − 3Y ↓	Beta 1Y
S&P 500 spx	–	0.43	−0.06	50	−0.25	+0.69 ⇄	−0.42	scatter
Nasdaq 100 ndx	–	0.36	0.00	50	−0.15	+0.52 ⇄	0.00	scatter
PHLX Semiconductor (SOX) sox	–	0.34	−0.04	50	−0.15	+0.49 ⇄	−0.09	scatter
Brent brent	–	−0.20	0.11	50	0.20	−0.40 ⇄	0.22	scatter
INDOGB 10YR id10y	0.52	0.35	0.06	43	0.03	+0.32	0.07	scatter
Gold gold	–	0.18	−0.22	50	−0.09	+0.28 ⇄	−0.88	scatter
USD/IDR usdidr	–	0.09	−0.18	50	−0.17	+0.27 ⇄	−3.02	scatter
Copper copper	–	0.43	0.09	50	0.19	+0.23	0.34	scatter
2s10s slope s2s10	−0.27	−0.21	−0.21	52	0.01	−0.22 ⇄	−0.60	scatter
10YR breakeven inflation be10y	−0.35	−0.17	−0.08	52	0.02	−0.19 ⇄	−0.25	scatter
3M-10YR slope s3m10	−0.87	−0.33	0.01	52	−0.14	−0.19	0.02	scatter
UST 10YR ust10y	–	−0.27	0.05	50	−0.10	−0.17	0.08	scatter
10YR term premium (Kim-Wright) tp10_kw	−0.64	−0.32	0.05	51	−0.16	−0.17	0.15	scatter
UST 2YR ust2y	–	−0.23	0.15	50	−0.09	−0.14	0.19	scatter
5Y5Y forward inflation be5y5y	0.58	0.00	−0.12	52	0.13	−0.13	−0.26	scatter
5YR breakeven inflation be5y	−0.83	−0.22	0.01	52	−0.12	−0.11	0.02	scatter
Bitcoin btc	–	−0.22	−0.09	50	−0.13	−0.10	−0.21	scatter
10YR real yield (TIPS) tips10y	–	−0.20	0.12	50	−0.13	−0.07	0.21	scatter
DXY dxy	–	−0.21	−0.13	50	−0.15	−0.07	−2.30	scatter
LQ45 lq45	–	−0.04	−0.17	46	−0.09	+0.05	−0.90	scatter
JCI (IHSG) jci	–	−0.05	−0.21	46	−0.07	+0.02	−1.15	scatter
Newcastle coal coal	–	–	–	0	–	–	–	scatter
United States Policy rate tvm_US_intr	–	–	–	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 US 30Y mortgage rate 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 ↓

US 30Y mortgage rate · S&P 500

20 60 120 252

Not enough common dates for a rolling correlation.

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	0.13	0.08	0.05	0.11	0.08	−0.04	0.03	0.08	0.03	−0.09	−0.06	−0.08	0.11	0.30	0.31	0.19	0.07	0.22	−0.17	−0.03	0.40

Lag +k: today's change in US 30Y mortgage rate against the change in S&P 500 k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.