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.

S&P 500 equal weight (RSP) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
S&P 500 spx	0.62	0.68	0.76	252	0.85	−0.17	0.68	scatter
MSCI ACWI (ETF) acwi	0.65	0.65	0.76	252	0.85	−0.21	0.62	scatter
Nasdaq 100 ndx	0.35	0.42	0.56	252	0.68	−0.26	0.33	scatter
MSCI EM (ETF) eem	0.82	0.30	0.52	238	0.57	−0.27	0.23	scatter
UST 10YR ust10y	−0.65	−0.63	−0.45	249	−0.20	−0.44	−0.08	scatter
VanEck Semiconductor (SMH) smh	0.69	0.16	0.43	238	0.57	−0.41	0.12	scatter
PHLX Semiconductor (SOX) sox	0.22	0.13	0.41	252	0.57	−0.44	0.10	scatter
KraneShares China Internet (KWEB) kweb	0.40	0.30	0.38	238	0.34	−0.03	0.16	scatter
First Trust Cybersecurity (CIBR) cibr	0.13	0.28	0.36	238	0.56	−0.29	0.14	scatter
Copper copper	0.00	0.14	0.35	252	0.31	−0.17	0.15	scatter
UST 2YR ust2y	−0.56	−0.48	−0.34	249	−0.14	−0.35	−0.05	scatter
Bitcoin btc	0.12	0.23	0.33	251	0.24	−0.02	0.09	scatter
Brent brent	−0.17	−0.57	−0.31	252	−0.08	−0.49	−0.07	scatter
WisdomTree Cloud (WCLD) wcld	0.11	0.46	0.30	238	0.57	−0.11	0.09	scatter
Utilities (XLU) xlu	0.62	0.22	0.30	238	0.48	−0.26	0.23	scatter
DXY dxy	−0.57	−0.31	−0.30	252	−0.21	−0.09	−0.66	scatter
MSCI Indonesia (EIDO, USD) eido	0.28	0.16	0.27	252	0.35	−0.19	0.10	scatter
Gold gold	0.46	0.37	0.25	252	0.11	+0.26	0.10	scatter
LQ45 lq45	0.19	0.05	0.09	234	0.16	−0.12	0.04	scatter
JCI (IHSG) jci	0.16	0.01	0.08	234	0.13	−0.12	0.03	scatter
INDOGB 10YR id10y	0.26	0.11	−0.03	201	−0.10	+0.21 ⇄	0.00	scatter
USD/IDR usdidr	−0.12	0.05	0.02	252	−0.17	+0.22 ⇄	0.03	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 S&P 500 equal weight (RSP) 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 ↓

S&P 500 equal weight (RSP) · MSCI ACWI (ETF)

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	0.08	0.03	0.01	−0.08	0.01	0.06	−0.02	−0.06	−0.03	−0.08	0.76	−0.06	−0.06	0.01	0.07	0.05	0.04	−0.09	−0.05	−0.10	0.10

Lag +k: today's change in S&P 500 equal weight (RSP) against the change in MSCI ACWI (ETF) k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.