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.

Financials (XLF) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
S&P 500 spx	0.35	0.52	0.52	252	0.53	−0.02	0.60	scatter
Consumer discretionary (XLY) sec_us_discretionary	0.51	0.50	0.50	252	0.67	−0.16	0.38	scatter
Industrials (XLI) sec_us_industrials	0.45	0.47	0.48	252	0.71	−0.24	0.41	scatter
Communication services (XLC) sec_us_communication	0.35	0.44	0.47	252	0.65	−0.21	0.43	scatter
Real estate (XLRE) sec_us_real_estate	0.61	0.46	0.43	252	0.53	−0.08	0.45	scatter
Materials (XLB) sec_us_materials	0.33	0.44	0.43	252	0.62	−0.19	0.35	scatter
Health care (XLV) sec_us_healthcare	0.23	0.30	0.36	252	0.48	−0.17	0.33	scatter
Bitcoin btc	0.07	0.09	0.30	251	0.19	−0.10	0.10	scatter
Nasdaq 100 ndx	−0.01	0.21	0.27	252	0.37	−0.16	0.20	scatter
Brent brent	0.23	−0.42	−0.25	252	−0.13	−0.29	−0.07	scatter
Copper copper	−0.14	0.13	0.23	252	0.26	−0.13	0.13	scatter
UST 10YR ust10y	−0.35	−0.38	−0.18	249	0.06	−0.44 ⇄	−0.04	scatter
Consumer staples (XLP) sec_us_staples	0.28	0.39	0.17	252	0.33	+0.06	0.16	scatter
DXY dxy	−0.47	−0.17	−0.16	252	−0.01	−0.16	−0.45	scatter
Gold gold	0.35	0.26	0.14	252	0.08	+0.18	0.07	scatter
UST 2YR ust2y	−0.25	−0.23	−0.13	249	0.09	−0.32 ⇄	−0.03	scatter
Energy (XLE) sec_us_energy	0.32	−0.07	−0.09	252	0.33	−0.41 ⇄	−0.06	scatter
LQ45 lq45	−0.08	−0.07	0.06	234	−0.03	−0.05	0.03	scatter
PHLX Semiconductor (SOX) sox	−0.16	−0.05	0.06	252	0.21	−0.25 ⇄	0.02	scatter
USD/IDR usdidr	−0.15	−0.04	−0.04	252	−0.03	0.00	−0.07	scatter
JCI (IHSG) jci	−0.10	−0.07	0.04	234	−0.06	−0.02	0.02	scatter
INDOGB 10YR id10y	0.19	0.16	0.00	201	0.01	+0.15	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 Financials (XLF) 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 ↓

Financials (XLF) · S&P 500

20 60 120 252

Rolling correlation of daily changes over the last 252 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	−0.02	0.00	−0.10	0.01	0.06	0.03	−0.07	−0.12	0.02	0.52	−0.04	−0.03	−0.08	0.04	0.11	0.03	−0.03	−0.07	−0.01	−0.03

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