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.

Consumer discretionary (XLY) against…

Series	1M	3M	1Y	n 1Y	3Y	3M − 3Y ↓	Beta 1Y
Energy (XLE) sec_us_energy	−0.24	−0.28	−0.29	252	0.19	−0.47 ⇄	−0.25	scatter
Industrials (XLI) sec_us_industrials	0.53	0.27	0.51	252	0.68	−0.41	0.57	scatter
PHLX Semiconductor (SOX) sox	0.48	0.06	0.37	252	0.41	−0.34	0.16	scatter
DXY dxy	−0.59	−0.39	−0.31	252	−0.12	−0.26	−1.17	scatter
Brent brent	−0.39	−0.55	−0.42	252	−0.29	−0.26	−0.15	scatter
Gold gold	0.54	0.39	0.20	252	0.14	+0.25	0.13	scatter
UST 10YR ust10y	−0.67	−0.38	−0.38	249	−0.14	−0.24	−0.11	scatter
Materials (XLB) sec_us_materials	0.51	0.38	0.47	252	0.61	−0.23	0.51	scatter
UST 2YR ust2y	−0.57	−0.29	−0.29	249	−0.09	−0.20	−0.08	scatter
Financials (XLF) sec_us_financials	0.51	0.50	0.50	252	0.67	−0.16	0.66	scatter
Health care (XLV) sec_us_healthcare	0.21	0.24	0.28	252	0.38	−0.15	0.34	scatter
Nasdaq 100 ndx	0.63	0.44	0.64	252	0.57	−0.13	0.62	scatter
Communication services (XLC) sec_us_communication	0.49	0.63	0.64	252	0.75	−0.11	0.77	scatter
Real estate (XLRE) sec_us_real_estate	0.69	0.37	0.33	252	0.46	−0.09	0.44	scatter
Consumer staples (XLP) sec_us_staples	0.04	0.34	0.18	252	0.26	+0.07	0.23	scatter
Bitcoin btc	0.33	0.23	0.32	251	0.29	−0.06	0.14	scatter
INDOGB 10YR id10y	0.15	−0.09	−0.08	201	−0.04	−0.05	−0.01	scatter
S&P 500 spx	0.81	0.66	0.77	252	0.62	+0.04	1.16	scatter
USD/IDR usdidr	−0.28	−0.04	−0.06	252	−0.07	+0.03	−0.13	scatter
Copper copper	0.37	0.28	0.32	252	0.31	−0.03	0.23	scatter
LQ45 lq45	0.28	0.09	0.10	234	0.07	+0.02	0.06	scatter
JCI (IHSG) jci	0.27	0.06	0.07	234	0.06	0.00	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 Consumer discretionary (XLY) 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 ↓

Consumer discretionary (XLY) · Energy (XLE)

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	−0.02	−0.05	0.03	0.02	0.06	−0.06	−0.11	−0.01	0.06	−0.02	−0.29	−0.09	0.01	0.05	−0.03	0.01	0.08	0.07	0.03	0.16	0.03

Lag +k: today's change in Consumer discretionary (XLY) against the change in Energy (XLE) k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.