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 EM (ETF) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
MSCI ACWI (ETF) acwi	0.98	0.83	0.87	238	0.82	+0.01	1.57	scatter
VanEck Semiconductor (SMH) smh	0.91	0.89	0.86	250	0.75	+0.14	0.55	scatter
PHLX Semiconductor (SOX) sox	0.92	0.88	0.84	238	0.77	+0.12	0.47	scatter
Nasdaq 100 ndx	0.95	0.84	0.83	238	0.73	+0.10	1.06	scatter
S&P 500 spx	0.95	0.70	0.76	238	0.69	+0.01	1.51	scatter
Copper copper	0.71	0.64	0.54	238	0.48	+0.15	0.50	scatter
KraneShares China Internet (KWEB) kweb	0.46	0.14	0.54	250	0.63	−0.49	0.50	scatter
DXY dxy	−0.49	−0.32	−0.43	238	−0.38	+0.05	−2.13	scatter
UST 10YR ust10y	−0.92	−0.37	−0.41	238	−0.15	−0.22	−0.16	scatter
Gold gold	0.41	0.38	0.36	238	0.30	+0.08	0.32	scatter
UST 2YR ust2y	−0.74	−0.28	−0.34	238	−0.10	−0.18	−0.12	scatter
Brent brent	−0.80	−0.34	−0.33	238	−0.17	−0.17	−0.15	scatter
Bitcoin btc	0.61	0.35	0.32	239	0.21	+0.14	0.19	scatter
MSCI Indonesia (EIDO, USD) eido	0.05	0.35	0.30	238	0.42	−0.07	0.29	scatter
First Trust Cybersecurity (CIBR) cibr	−0.20	0.14	0.27	250	0.44	−0.30	0.23	scatter
iShares Software (IGV) igv	−0.16	0.07	0.22	250	0.39	−0.32	0.17	scatter
Utilities (XLU) xlu	0.50	−0.01	0.11	250	0.26	−0.28 ⇄	0.19	scatter
JCI (IHSG) jci	−0.22	0.30	0.10	220	0.21	+0.10	0.10	scatter
USD/IDR usdidr	−0.28	−0.03	0.07	238	−0.19	+0.16	0.21	scatter
LQ45 lq45	−0.11	0.28	0.06	220	0.18	+0.10	0.06	scatter
WisdomTree Cloud (WCLD) wcld	−0.29	−0.16	0.05	250	0.27	−0.43 ⇄	0.03	scatter
INDOGB 10YR id10y	0.17	0.12	0.00	213	−0.11	+0.23 ⇄	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 EM (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 EM (ETF) · MSCI ACWI (ETF)

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

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