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.

Brent against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
WTI wti	0.68	0.92	0.92	254	0.94	−0.02	0.90	scatter
UST 10YR ust10y	0.37	0.57	0.42	249	0.33	+0.24	0.34	scatter
UST 2YR ust2y	0.33	0.41	0.36	249	0.30	+0.12	0.26	scatter
S&P 500 spx	−0.53	−0.60	−0.35	252	−0.10	−0.50	−1.50	scatter
Nasdaq 100 ndx	−0.67	−0.50	−0.29	252	−0.09	−0.41	−0.80	scatter
DXY dxy	0.01	0.03	0.22	254	0.23	−0.20	2.33	scatter
INDOGB 10YR id10y	−0.36	−0.12	0.21	201	0.20	−0.32 ⇄	0.09	scatter
Copper copper	−0.33	−0.38	−0.21	254	0.00	−0.38	−0.42	scatter
PHLX Semiconductor (SOX) sox	−0.72	−0.27	−0.20	252	−0.01	−0.26	−0.24	scatter
Gold gold	−0.21	−0.11	−0.17	254	−0.04	−0.08	−0.32	scatter
LQ45 lq45	−0.37	−0.10	−0.15	234	−0.13	+0.04	−0.27	scatter
JCI (IHSG) jci	−0.37	−0.08	−0.15	234	−0.13	+0.05	−0.28	scatter
US natural gas natgas	0.17	0.26	0.12	254	0.06	+0.20	0.07	scatter
Bitcoin btc	−0.55	−0.20	−0.08	253	−0.05	−0.16	−0.10	scatter
USD/IDR usdidr	0.15	−0.10	−0.01	253	0.07	−0.18 ⇄	−0.05	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 Brent 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 ↓

Brent · S&P 500

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	−0.09	0.02	0.05	0.04	0.12	−0.06	−0.04	0.09	0.11	−0.11	−0.35	0.05	0.08	−0.04	−0.20	−0.07	−0.05	0.01	0.09	−0.01	0.04

Lag +k: today's change in Brent against the change in S&P 500 k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.