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	0.97	0.97	238	0.99	−0.02	0.91	scatter
S&P 500 spx	0.97	0.96	0.96	238	0.96	0.00	1.38	scatter
PHLX Semiconductor (SOX) sox	0.92	0.73	0.79	238	0.85	−0.13	0.32	scatter
Russell 2000 rut	0.84	0.80	0.76	238	0.72	+0.08	0.76	scatter
DJIA dji	0.74	0.74	0.69	238	0.75	−0.01	1.00	scatter
Bitcoin btc	0.70	0.36	0.46	239	0.27	+0.08	0.20	scatter
Copper copper	0.76	0.54	0.45	238	0.31	+0.23	0.30	scatter
UST 10YR ust10y	−0.83	−0.44	−0.33	238	−0.05	−0.39	−0.09	scatter
Bovespa bvsp	0.07	0.21	0.33	243	0.35	−0.13	0.35	scatter
Brent brent	−0.69	−0.55	−0.31	238	−0.09	−0.46	−0.10	scatter
DXY dxy	−0.43	−0.28	−0.30	238	−0.16	−0.12	−1.10	scatter
Gold gold	0.33	0.34	0.28	238	0.12	+0.22	0.18	scatter
UST 2YR ust2y	−0.64	−0.34	−0.25	238	0.00	−0.34 ⇄	−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	−0.13	0.25	0.06	220	0.14	+0.12	0.04	scatter
JCI (IHSG) jci	−0.18	0.22	0.06	220	0.13	+0.10	0.04	scatter
USD/IDR usdidr	−0.16	0.09	0.02	238	−0.17	+0.26 ⇄	0.05	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 · Brent

20 60 120 252

Rolling correlation of daily changes over the last 120 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	0.06	−0.02	0.07	0.03	−0.03	−0.07	−0.15	−0.06	0.07	0.05	−0.31	−0.09	0.14	0.06	−0.04	−0.04	0.15	0.07	0.06	0.01	−0.09

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