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.

SMIC (0981.HK) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
Alibaba (9988.HK) 9988.HK	0.38	0.34	0.46	246	0.40	−0.06	0.61	scatter
PHLX Semiconductor (SOX) sox	0.02	0.28	0.36	228	0.20	+0.07	0.45	scatter
Tencent (0700.HK) 0700.HK	−0.09	0.15	0.31	246	0.35	−0.21	0.55	scatter
Nasdaq 100 ndx	−0.13	0.29	0.29	228	0.16	+0.14	0.82	scatter
Coherent (COHR) COHR	0.42	0.38	0.29	238	0.17	+0.21	0.19	scatter
Ciena (CIEN) CIEN	0.17	0.38	0.27	238	0.17	+0.22	0.22	scatter
S&P 500 spx	−0.25	0.23	0.23	228	0.17	+0.06	0.98	scatter
Xiaomi (1810.HK) 1810.HK	0.01	0.02	0.20	246	0.38	−0.37	0.29	scatter
Brent brent	−0.29	−0.16	−0.20	228	−0.09	−0.07	−0.21	scatter
INDOGB 10YR id10y	−0.05	−0.03	−0.19	207	−0.18	+0.15	−0.09	scatter
Meituan (3690.HK) 3690.HK	0.13	−0.05	0.19	246	0.37	−0.41 ⇄	0.27	scatter
JD.com (9618.HK) 9618.HK	0.08	−0.08	0.19	246	0.39	−0.47 ⇄	0.33	scatter
Copper copper	−0.06	0.21	0.17	228	0.19	+0.02	0.36	scatter
Arista (ANET) ANET	0.38	0.29	0.17	238	0.12	+0.17	0.19	scatter
Gold gold	0.53	0.21	0.17	228	0.08	+0.13	0.32	scatter
JCI (IHSG) jci	0.00	0.17	0.14	217	0.04	+0.13	0.32	scatter
UST 2YR ust2y	0.56	−0.03	−0.13	228	0.03	−0.05 ⇄	−0.10	scatter
UST 10YR ust10y	0.18	0.06	−0.12	228	−0.02	+0.08 ⇄	−0.11	scatter
DXY dxy	0.39	0.13	−0.11	228	−0.05	+0.18 ⇄	−1.16	scatter
USD/IDR usdidr	0.21	0.20	0.10	233	0.09	+0.11	0.77	scatter
LQ45 lq45	−0.28	−0.03	0.07	217	−0.01	−0.03	0.16	scatter
Bitcoin btc	0.54	0.15	0.07	234	0.06	+0.09	0.09	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 SMIC (0981.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 ↓

SMIC (0981.HK) · Alibaba (9988.HK)

20 60 120 252

Rolling correlation of daily changes over the last 120 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	0.00	−0.02	0.04	−0.08	0.00	−0.02	−0.06	−0.06	0.05	0.46	−0.12	−0.02	−0.02	−0.07	0.02	−0.02	−0.05	0.06	0.08	−0.09

Lag +k: today's change in SMIC (0981.HK) against the change in Alibaba (9988.HK) k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.