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 Indonesia (EIDO, USD) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
LQ45 lq45	0.88	0.89	0.85	233	0.85	+0.04	0.87	scatter
JCI (IHSG) jci	0.83	0.80	0.82	233	0.78	+0.02	0.87	scatter
MSCI ACWI (ETF) acwi	0.34	0.40	0.35	252	0.45	−0.05	0.65	scatter
S&P 500 spx	0.36	0.36	0.32	252	0.37	0.00	0.66	scatter
MSCI EM (ETF) eem	0.06	0.31	0.30	240	0.42	−0.11	0.31	scatter
Copper copper	0.18	0.35	0.29	252	0.22	+0.14	0.28	scatter
Nasdaq 100 ndx	0.22	0.37	0.24	252	0.32	+0.05	0.33	scatter
DXY dxy	−0.29	−0.35	−0.24	252	−0.38	+0.03	−1.23	scatter
KraneShares China Internet (KWEB) kweb	−0.36	0.04	0.22	240	0.22	−0.18	0.22	scatter
UST 10YR ust10y	0.03	−0.11	−0.20	248	−0.07	−0.04	−0.08	scatter
UST 2YR ust2y	0.04	−0.09	−0.19	248	−0.12	+0.04	−0.07	scatter
VanEck Semiconductor (SMH) smh	−0.04	0.25	0.17	240	0.24	+0.01	0.11	scatter
Brent brent	−0.15	−0.09	−0.16	252	−0.14	+0.05	−0.08	scatter
Gold gold	0.06	0.31	0.16	252	0.19	+0.12	0.14	scatter
PHLX Semiconductor (SOX) sox	0.07	0.26	0.15	252	0.24	+0.02	0.09	scatter
Bitcoin btc	−0.10	0.21	0.15	251	0.20	+0.01	0.09	scatter
INDOGB 10YR id10y	−0.21	−0.04	−0.14	203	−0.22	+0.17	−0.03	scatter
iShares Software (IGV) igv	0.53	0.25	0.13	240	0.23	+0.02	0.11	scatter
First Trust Cybersecurity (CIBR) cibr	0.46	0.22	0.12	240	0.25	−0.02	0.11	scatter
Utilities (XLU) xlu	0.22	0.03	0.07	240	0.22	−0.19	0.12	scatter
WisdomTree Cloud (WCLD) wcld	0.38	0.10	0.06	240	0.19	−0.09	0.04	scatter
USD/IDR usdidr	−0.22	−0.07	0.01	251	−0.29	+0.22	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 MSCI Indonesia (EIDO, USD) 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 Indonesia (EIDO, USD) · LQ45

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	−0.02	0.02	−0.06	−0.08	0.02	0.00	−0.01	0.06	0.01	0.04	0.85	0.15	−0.06	0.13	0.01	−0.03	−0.05	0.00	−0.11	0.03	0.05

Lag +k: today's change in MSCI Indonesia (EIDO, USD) against the change in LQ45 k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.