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.

ASML (ASML) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
PHLX Semiconductor (SOX) sox	0.64	0.84	0.83	238	0.79	+0.06	0.85	scatter
Nasdaq 100 ndx	0.45	0.61	0.70	238	0.68	−0.08	1.65	scatter
Eaton (ETN) ETN	0.80	0.70	0.63	250	0.54	+0.16	0.74	scatter
S&P 500 spx	0.37	0.38	0.61	238	0.60	−0.22	2.21	scatter
Coherent (COHR) COHR	0.75	0.67	0.56	250	0.54	+0.13	0.30	scatter
Ciena (CIEN) CIEN	0.67	0.69	0.52	250	0.42	+0.27	0.33	scatter
Copper copper	0.21	0.45	0.44	238	0.31	+0.14	0.74	scatter
Arista (ANET) ANET	0.55	0.53	0.42	250	0.47	+0.07	0.36	scatter
CoreWeave (CRWV) CRWV	0.55	0.62	0.41	250	0.28	+0.33	0.20	scatter
Constellation (CEG) CEG	0.66	0.44	0.38	250	0.40	+0.04	0.37	scatter
Dell (DELL) DELL	0.31	0.45	0.30	250	0.37	+0.08	0.18	scatter
Digital Realty (DLR) DLR	0.56	0.20	0.29	250	0.28	−0.07	0.50	scatter
DXY dxy	−0.39	−0.11	−0.27	238	−0.19	+0.08	−2.45	scatter
Brent brent	−0.66	−0.04	−0.25	238	−0.03	−0.01	−0.21	scatter
UST 10YR ust10y	−0.42	−0.04	−0.24	238	−0.02	−0.02	−0.17	scatter
Gold gold	0.12	0.13	0.21	238	0.13	0.00	0.34	scatter
Bitcoin btc	0.51	0.07	0.21	239	0.13	−0.06	0.22	scatter
UST 2YR ust2y	−0.20	−0.04	−0.15	238	0.02	−0.06 ⇄	−0.09	scatter
INDOGB 10YR id10y	0.19	0.21	0.08	213	0.07	+0.14	0.03	scatter
USD/IDR usdidr	0.13	0.03	0.08	238	−0.05	+0.08 ⇄	0.47	scatter
JCI (IHSG) jci	−0.20	0.10	0.05	220	0.04	+0.06	0.08	scatter
LQ45 lq45	−0.22	0.04	0.02	220	0.05	0.00	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 ASML (ASML) 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 ↓

ASML (ASML) · PHLX Semiconductor (SOX)

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	0.05	0.02	−0.06	0.11	0.00	−0.03	−0.09	0.12	−0.15	−0.11	0.83	−0.05	−0.07	0.03	−0.07	−0.08	−0.03	0.09	0.01	−0.03	−0.03

Lag +k: today's change in ASML (ASML) 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.