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.

Nasdaq Composite against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
Nasdaq 100 ndx	0.98	0.96	0.97	240	0.99	−0.03	0.91	scatter
S&P 500 spx	0.97	0.96	0.96	240	0.96	−0.01	1.39	scatter
PHLX Semiconductor (SOX) sox	0.90	0.73	0.79	240	0.85	−0.13	0.32	scatter
Russell 2000 rut	0.85	0.78	0.75	240	0.72	+0.06	0.75	scatter
DJIA dji	0.75	0.73	0.69	240	0.75	−0.02	1.00	scatter
Bitcoin btc	0.70	0.36	0.46	239	0.27	+0.08	0.20	scatter
Copper copper	0.68	0.53	0.45	240	0.31	+0.21	0.30	scatter
UST 10YR ust10y	−0.83	−0.45	−0.33	238	−0.07	−0.38	−0.09	scatter
Bovespa bvsp	0.07	0.21	0.33	243	0.35	−0.13	0.35	scatter
Brent brent	−0.73	−0.53	−0.31	240	−0.09	−0.44	−0.10	scatter
DXY dxy	−0.41	−0.30	−0.30	240	−0.16	−0.14	−1.09	scatter
Gold gold	0.32	0.35	0.28	240	0.12	+0.24	0.18	scatter
UST 2YR ust2y	−0.64	−0.36	−0.25	238	0.00	−0.36 ⇄	−0.06	scatter
CSI 300 csi300	0.29	0.34	0.21	233	0.22	+0.13	0.23	scatter
FTSE Bursa Malaysia KLCI klci	0.31	0.05	0.09	237	0.19	−0.14	0.19	scatter
LQ45 lq45	−0.05	0.21	0.06	221	0.14	+0.07	0.04	scatter
JCI (IHSG) jci	−0.10	0.19	0.06	221	0.13	+0.06	0.04	scatter
USD/IDR usdidr	−0.13	0.12	0.02	239	−0.17	+0.29 ⇄	0.06	scatter
INDOGB 10YR id10y	0.03	0.17	−0.02	213	−0.09	+0.26 ⇄	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 Nasdaq Composite 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 ↓

Nasdaq Composite · Nasdaq 100

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	0.01	−0.06	−0.06	−0.05	0.01	−0.08	0.07	−0.07	0.01	0.97	−0.01	−0.04	0.08	−0.06	0.02	−0.04	−0.05	−0.07	0.02	0.15

Lag +k: today's change in Nasdaq Composite against the change in Nasdaq 100 k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.