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.

MSCI ACWI (ETF) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
S&P 500 spx	0.97	0.96	0.96	252	0.96	0.00	1.06	scatter
Nasdaq 100 ndx	0.88	0.91	0.90	252	0.91	0.00	0.64	scatter
MSCI EM (ETF) eem	0.98	0.83	0.87	238	0.82	+0.01	0.49	scatter
VanEck Semiconductor (SMH) smh	0.88	0.75	0.79	238	0.81	−0.06	0.28	scatter
PHLX Semiconductor (SOX) sox	0.76	0.72	0.76	252	0.80	−0.08	0.24	scatter
Copper copper	0.56	0.57	0.54	252	0.43	+0.15	0.28	scatter
KraneShares China Internet (KWEB) kweb	0.54	0.26	0.52	238	0.46	−0.20	0.28	scatter
Bitcoin btc	0.52	0.37	0.43	251	0.27	+0.10	0.14	scatter
DXY dxy	−0.38	−0.37	−0.43	252	−0.31	−0.06	−1.17	scatter
UST 10YR ust10y	−0.45	−0.44	−0.42	249	−0.12	−0.31	−0.09	scatter
First Trust Cybersecurity (CIBR) cibr	0.30	0.30	0.40	238	0.65	−0.35	0.19	scatter
Brent brent	−0.55	−0.56	−0.39	252	−0.14	−0.41	−0.10	scatter
iShares Software (IGV) igv	0.40	0.38	0.38	238	0.63	−0.26	0.17	scatter
Gold gold	0.33	0.45	0.36	252	0.20	+0.25	0.18	scatter
MSCI Indonesia (EIDO, USD) eido	0.37	0.37	0.34	252	0.43	−0.06	0.16	scatter
UST 2YR ust2y	−0.43	−0.35	−0.34	249	−0.07	−0.28	−0.06	scatter
WisdomTree Cloud (WCLD) wcld	0.32	0.18	0.21	238	0.53	−0.35	0.08	scatter
Utilities (XLU) xlu	0.51	0.18	0.16	238	0.35	−0.17	0.15	scatter
JCI (IHSG) jci	0.30	0.27	0.11	234	0.18	+0.09	0.06	scatter
LQ45 lq45	0.31	0.27	0.11	234	0.20	+0.07	0.05	scatter
USD/IDR usdidr	−0.18	0.00	0.04	252	−0.20	+0.20 ⇄	0.07	scatter
INDOGB 10YR id10y	0.29	0.10	−0.02	201	−0.12	+0.22 ⇄	0.00	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 MSCI ACWI (ETF) 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 ↓

MSCI ACWI (ETF) · MSCI EM (ETF)

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	0.10	0.00	−0.04	−0.08	0.00	−0.05	−0.05	0.05	−0.08	−0.04	0.87	−0.15	−0.03	0.04	−0.01	−0.02	0.01	−0.08	−0.05	0.03	0.01

Lag +k: today's change in MSCI ACWI (ETF) against the change in MSCI EM (ETF) k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.