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.

US HY OAS against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
US IG OAS igoas	0.89	0.68	0.72	251	0.78	−0.10	3.41	scatter
S&P 500 spx	−0.46	−0.48	−0.58	252	−0.72	+0.24	−3.97	scatter
EM corporate OAS emoas	0.64	0.47	0.56	251	0.66	−0.19	1.14	scatter
Nasdaq 100 ndx	−0.45	−0.44	−0.52	252	−0.64	+0.20	−2.28	scatter
PHLX Semiconductor (SOX) sox	−0.35	−0.30	−0.42	252	−0.56	+0.26	−0.81	scatter
Bitcoin btc	−0.26	−0.25	−0.33	259	−0.24	−0.01	−0.65	scatter
Copper copper	−0.51	−0.34	−0.30	252	−0.30	−0.04	−0.95	scatter
Brent brent	0.14	0.19	0.26	252	−0.04	+0.23 ⇄	0.42	scatter
Gold gold	−0.28	−0.28	−0.22	252	−0.03	−0.25	−0.67	scatter
UST 2YR ust2y	−0.25	−0.17	−0.22	249	−0.25	+0.07	−0.25	scatter
LQ45 lq45	−0.33	−0.29	−0.16	239	−0.15	−0.15	−0.53	scatter
JCI (IHSG) jci	−0.37	−0.32	−0.14	239	−0.12	−0.20	−0.50	scatter
DXY dxy	0.21	0.19	0.13	252	0.04	+0.15	2.12	scatter
INDOGB 10YR id10y	0.44	0.18	0.11	208	0.14	+0.04	0.07	scatter
UST 10YR ust10y	0.03	0.04	−0.07	249	−0.17	+0.21 ⇄	−0.10	scatter
USD/IDR usdidr	−0.01	0.03	0.04	259	0.16	−0.13	0.45	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 US HY OAS 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 ↓

US HY OAS · US IG OAS

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	0.18	0.06	−0.12	−0.09	−0.04	−0.08	0.05	−0.04	−0.05	0.12	0.72	0.10	−0.08	0.00	−0.01	−0.06	−0.01	0.02	−0.06	0.00	0.16

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