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.

Lam Research (LRCX) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
PHLX Semiconductor (SOX) sox	0.74	0.90	0.89	238	0.88	+0.02	1.28	scatter
Nasdaq 100 ndx	0.60	0.75	0.77	238	0.76	−0.02	2.51	scatter
Eaton (ETN) ETN	0.83	0.70	0.70	250	0.62	+0.08	1.15	scatter
Coherent (COHR) COHR	0.72	0.72	0.66	250	0.67	+0.05	0.50	scatter
Ciena (CIEN) CIEN	0.52	0.75	0.64	250	0.54	+0.21	0.57	scatter
S&P 500 spx	0.53	0.53	0.63	238	0.65	−0.12	3.21	scatter
CoreWeave (CRWV) CRWV	0.73	0.72	0.51	250	0.37	+0.34	0.35	scatter
Arista (ANET) ANET	0.58	0.61	0.48	250	0.52	+0.09	0.57	scatter
Copper copper	0.28	0.52	0.41	238	0.30	+0.22	0.97	scatter
Constellation (CEG) CEG	0.50	0.33	0.40	250	0.41	−0.09	0.56	scatter
Dell (DELL) DELL	0.24	0.57	0.33	250	0.43	+0.14	0.29	scatter
Digital Realty (DLR) DLR	0.56	0.26	0.32	250	0.33	−0.07	0.77	scatter
Bitcoin btc	0.84	0.22	0.26	239	0.16	+0.06	0.39	scatter
DXY dxy	−0.45	−0.22	−0.24	238	−0.15	−0.07	−3.09	scatter
Brent brent	−0.52	−0.19	−0.24	238	−0.04	−0.15	−0.28	scatter
Gold gold	0.34	0.23	0.23	238	0.16	+0.07	0.51	scatter
UST 10YR ust10y	−0.26	−0.14	−0.23	238	0.01	−0.15 ⇄	−0.22	scatter
UST 2YR ust2y	−0.20	−0.13	−0.17	238	0.05	−0.19 ⇄	−0.15	scatter
USD/IDR usdidr	−0.25	0.02	0.07	238	−0.07	+0.09 ⇄	0.55	scatter
JCI (IHSG) jci	−0.25	0.29	0.06	220	0.10	+0.19	0.16	scatter
INDOGB 10YR id10y	−0.06	0.18	0.05	213	0.00	+0.18 ⇄	0.03	scatter
LQ45 lq45	−0.36	0.25	0.02	220	0.08	+0.16	0.04	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 Lam Research (LRCX) 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 ↓

Lam Research (LRCX) · 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	0.00	0.10	−0.01	0.11	0.02	−0.11	−0.13	0.10	−0.15	−0.07	0.89	−0.06	−0.06	0.10	−0.13	−0.10	0.00	0.04	−0.02	0.07	−0.01

Lag +k: today's change in Lam Research (LRCX) 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.