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.

Energy (XLE) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
Brent brent	0.67	0.59	0.62	252	0.58	+0.01	0.25	scatter
UST 10YR ust10y	0.01	0.31	0.34	249	0.31	0.00	0.11	scatter
Consumer discretionary (XLY) sec_us_discretionary	−0.24	−0.28	−0.29	252	0.19	−0.47 ⇄	−0.33	scatter
Nasdaq 100 ndx	−0.55	−0.34	−0.28	252	−0.03	−0.31	−0.31	scatter
UST 2YR ust2y	−0.09	0.18	0.28	249	0.28	−0.10	0.08	scatter
S&P 500 spx	−0.34	−0.33	−0.24	252	0.06	−0.39 ⇄	−0.41	scatter
INDOGB 10YR id10y	−0.09	−0.04	0.23	201	0.18	−0.22 ⇄	0.04	scatter
PHLX Semiconductor (SOX) sox	−0.53	−0.21	−0.20	252	0.01	−0.22 ⇄	−0.10	scatter
Communication services (XLC) sec_us_communication	−0.21	−0.26	−0.19	252	0.20	−0.46 ⇄	−0.26	scatter
Industrials (XLI) sec_us_industrials	0.04	−0.18	−0.17	252	0.28	−0.46 ⇄	−0.22	scatter
Consumer staples (XLP) sec_us_staples	0.43	0.00	0.13	252	0.20	−0.20	0.19	scatter
LQ45 lq45	−0.32	−0.20	−0.12	234	−0.12	−0.08	−0.09	scatter
JCI (IHSG) jci	−0.29	−0.16	−0.09	234	−0.11	−0.05	−0.07	scatter
Gold gold	−0.15	−0.16	−0.09	252	−0.02	−0.14	−0.07	scatter
Financials (XLF) sec_us_financials	0.32	−0.07	−0.09	252	0.33	−0.41 ⇄	−0.13	scatter
Health care (XLV) sec_us_healthcare	−0.32	−0.19	−0.08	252	0.18	−0.38 ⇄	−0.11	scatter
DXY dxy	−0.12	−0.02	0.07	252	0.02	−0.04 ⇄	0.30	scatter
USD/IDR usdidr	0.23	0.01	0.04	252	−0.02	+0.03 ⇄	0.11	scatter
Bitcoin btc	−0.42	−0.30	−0.04	251	−0.01	−0.29	−0.02	scatter
Copper copper	−0.32	−0.11	−0.02	252	0.19	−0.30 ⇄	−0.02	scatter
Materials (XLB) sec_us_materials	0.19	−0.10	−0.02	252	0.35	−0.44 ⇄	−0.02	scatter
Real estate (XLRE) sec_us_real_estate	0.06	−0.17	−0.02	252	0.25	−0.42 ⇄	−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 Energy (XLE) 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 ↓

Energy (XLE) · Brent

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	−0.12	−0.11	0.04	0.02	0.03	0.01	0.05	0.01	−0.02	0.01	0.62	0.02	−0.09	−0.04	0.12	0.09	−0.06	−0.03	−0.02	−0.02	−0.02

Lag +k: today's change in Energy (XLE) 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.