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
Tencent (0700.HK) 0700.HK	0.59	0.62	0.68	246	0.71	−0.09	0.91	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
Xiaomi (1810.HK) 1810.HK	0.50	0.46	0.51	246	0.50	−0.04	0.55	scatter
SMIC (0981.HK) 0981.HK	0.38	0.34	0.46	246	0.40	−0.06	0.35	scatter
Arista (ANET) ANET	0.39	0.27	0.20	238	0.05	+0.22	0.16	scatter
Ciena (CIEN) CIEN	0.60	0.20	0.19	238	0.12	+0.08	0.11	scatter
JCI (IHSG) jci	−0.64	−0.10	0.19	217	0.19	−0.29 ⇄	0.32	scatter
Coherent (COHR) COHR	0.46	0.13	0.18	238	0.11	+0.02	0.09	scatter
PHLX Semiconductor (SOX) sox	0.72	0.19	0.16	228	0.14	+0.04	0.16	scatter
LQ45 lq45	−0.81	−0.18	0.16	217	0.15	−0.34 ⇄	0.26	scatter
Gold gold	0.16	−0.13	0.15	228	0.04	−0.17 ⇄	0.23	scatter
Copper copper	0.43	0.17	0.15	228	0.21	−0.04	0.24	scatter
Nasdaq 100 ndx	0.61	0.22	0.13	228	0.12	+0.10	0.28	scatter
DXY dxy	−0.25	−0.01	−0.10	228	−0.12	+0.10	−0.87	scatter
S&P 500 spx	0.46	0.15	0.10	228	0.08	+0.07	0.34	scatter
INDOGB 10YR id10y	0.21	0.12	−0.05	207	−0.18	+0.30 ⇄	−0.02	scatter
UST 2YR ust2y	−0.18	−0.11	−0.04	228	−0.07	−0.04	−0.03	scatter
Brent brent	−0.49	−0.17	−0.04	228	−0.02	−0.15	−0.03	scatter
Bitcoin btc	0.66	0.07	0.03	234	0.03	+0.04	0.03	scatter
USD/IDR usdidr	0.42	0.18	0.02	233	−0.09	+0.27 ⇄	0.12	scatter
UST 10YR ust10y	−0.33	−0.02	−0.02	228	−0.10	+0.08	−0.01	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) · Tencent (0700.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	−0.08	0.02	−0.03	−0.03	−0.02	0.08	−0.10	0.02	0.05	−0.02	0.68	−0.09	0.01	−0.06	−0.09	0.02	−0.07	−0.11	−0.04	−0.02	−0.13

Lag +k: today's change in Alibaba (9988.HK) against the change in Tencent (0700.HK) k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.