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.

iShares Software (IGV) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
WisdomTree Cloud (WCLD) wcld	0.95	0.93	0.92	250	0.89	+0.03	0.76	scatter
First Trust Cybersecurity (CIBR) cibr	0.91	0.87	0.87	250	0.88	−0.02	0.95	scatter
S&P 500 spx	0.45	0.49	0.49	238	0.70	−0.21	1.22	scatter
Nasdaq 100 ndx	0.51	0.43	0.46	238	0.70	−0.27	0.74	scatter
Bitcoin btc	0.33	0.26	0.40	239	0.29	−0.02	0.29	scatter
MSCI ACWI (ETF) acwi	0.40	0.38	0.38	238	0.63	−0.26	0.87	scatter
KraneShares China Internet (KWEB) kweb	0.09	0.24	0.27	250	0.24	0.00	0.31	scatter
Utilities (XLU) xlu	−0.29	−0.31	−0.25	250	−0.01	−0.30	−0.52	scatter
MSCI EM (ETF) eem	−0.16	0.07	0.22	250	0.39	−0.32	0.27	scatter
VanEck Semiconductor (SMH) smh	−0.20	0.05	0.20	250	0.51	−0.45	0.16	scatter
Copper copper	0.16	0.06	0.15	238	0.18	−0.11	0.17	scatter
PHLX Semiconductor (SOX) sox	0.32	0.03	0.14	238	0.47	−0.44	0.10	scatter
DXY dxy	0.24	−0.13	−0.13	238	−0.08	−0.05	−0.82	scatter
MSCI Indonesia (EIDO, USD) eido	0.53	0.25	0.13	238	0.23	+0.02	0.16	scatter
UST 10YR ust10y	−0.24	−0.32	−0.11	238	−0.04	−0.28	−0.05	scatter
UST 2YR ust2y	−0.02	−0.29	−0.10	238	0.01	−0.30 ⇄	−0.04	scatter
Gold gold	−0.28	0.14	0.09	238	0.06	+0.08	0.10	scatter
Brent brent	−0.11	−0.37	−0.06	238	0.00	−0.37 ⇄	−0.04	scatter
LQ45 lq45	0.43	0.24	0.04	220	0.09	+0.16	0.05	scatter
INDOGB 10YR id10y	−0.50	−0.12	−0.04	213	−0.08	−0.04	−0.01	scatter
JCI (IHSG) jci	0.36	0.13	0.02	220	0.07	+0.05	0.03	scatter
USD/IDR usdidr	0.08	0.16	0.01	238	−0.12	+0.29 ⇄	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 iShares Software (IGV) 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 ↓

iShares Software (IGV) · WisdomTree Cloud (WCLD)

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	0.09	0.04	−0.15	−0.04	−0.12	0.04	−0.04	−0.05	−0.01	0.09	0.92	0.10	−0.01	−0.06	−0.02	0.03	−0.09	−0.03	−0.11	0.06	0.13

Lag +k: today's change in iShares Software (IGV) against the change in WisdomTree Cloud (WCLD) k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.