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.

Applied Materials (AMAT) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
PHLX Semiconductor (SOX) sox	0.69	0.89	0.87	238	0.85	+0.04	1.15	scatter
Nasdaq 100 ndx	0.56	0.71	0.72	238	0.71	0.00	2.17	scatter
Eaton (ETN) ETN	0.83	0.72	0.69	250	0.64	+0.09	1.05	scatter
Coherent (COHR) COHR	0.73	0.78	0.65	250	0.68	+0.09	0.45	scatter
Ciena (CIEN) CIEN	0.60	0.78	0.61	250	0.51	+0.27	0.50	scatter
S&P 500 spx	0.52	0.51	0.57	238	0.61	−0.09	2.68	scatter
Arista (ANET) ANET	0.53	0.64	0.50	250	0.53	+0.10	0.55	scatter
CoreWeave (CRWV) CRWV	0.67	0.73	0.45	250	0.32	+0.40	0.28	scatter
Copper copper	0.20	0.46	0.38	238	0.30	+0.16	0.83	scatter
Constellation (CEG) CEG	0.48	0.33	0.38	250	0.43	−0.09	0.48	scatter
Dell (DELL) DELL	0.20	0.50	0.32	250	0.41	+0.09	0.25	scatter
Digital Realty (DLR) DLR	0.48	0.22	0.24	250	0.27	−0.05	0.53	scatter
Bitcoin btc	0.82	0.21	0.22	239	0.17	+0.04	0.31	scatter
Gold gold	0.26	0.19	0.21	238	0.16	+0.03	0.44	scatter
DXY dxy	−0.46	−0.14	−0.19	238	−0.11	−0.02	−2.26	scatter
Brent brent	−0.37	−0.16	−0.18	238	−0.01	−0.16	−0.20	scatter
UST 10YR ust10y	−0.14	−0.05	−0.17	238	0.02	−0.06 ⇄	−0.15	scatter
UST 2YR ust2y	−0.11	0.00	−0.10	238	0.08	−0.08 ⇄	−0.08	scatter
INDOGB 10YR id10y	−0.05	0.23	0.08	213	0.04	+0.18	0.04	scatter
JCI (IHSG) jci	−0.04	0.29	0.07	220	0.06	+0.23	0.16	scatter
USD/IDR usdidr	−0.29	−0.01	0.05	238	−0.07	+0.06	0.39	scatter
LQ45 lq45	−0.18	0.21	0.01	220	0.05	+0.16	0.03	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 Applied Materials (AMAT) 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 ↓

Applied Materials (AMAT) · PHLX Semiconductor (SOX)

20 60 120 252

Rolling correlation of daily changes over the last 252 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	−0.04	0.12	−0.06	0.12	−0.03	−0.07	−0.08	0.08	−0.11	−0.08	0.87	−0.07	−0.11	0.10	−0.15	−0.11	0.01	0.10	0.01	0.00	0.02

Lag +k: today's change in Applied Materials (AMAT) 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.