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.

Real estate (XLRE) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
Consumer staples (XLP) sec_us_staples	0.33	0.49	0.53	252	0.60	−0.11	0.50	scatter
Health care (XLV) sec_us_healthcare	0.21	0.29	0.45	252	0.55	−0.26	0.40	scatter
Materials (XLB) sec_us_materials	0.50	0.38	0.43	252	0.60	−0.21	0.35	scatter
Financials (XLF) sec_us_financials	0.54	0.43	0.43	252	0.53	−0.11	0.42	scatter
UST 10YR ust10y	−0.50	−0.46	−0.38	248	−0.14	−0.32	−0.08	scatter
Industrials (XLI) sec_us_industrials	0.52	0.28	0.37	252	0.52	−0.24	0.30	scatter
Communication services (XLC) sec_us_communication	0.20	0.27	0.35	252	0.44	−0.17	0.31	scatter
UST 2YR ust2y	−0.26	−0.34	−0.34	248	−0.16	−0.18	−0.06	scatter
Consumer discretionary (XLY) sec_us_discretionary	0.62	0.35	0.32	252	0.46	−0.11	0.24	scatter
S&P 500 spx	0.48	0.23	0.26	252	0.33	−0.10	0.29	scatter
DXY dxy	−0.42	−0.21	−0.24	252	−0.13	−0.08	−0.67	scatter
Brent brent	0.04	−0.26	−0.19	252	−0.12	−0.15	−0.05	scatter
Bitcoin btc	0.05	0.11	0.14	251	0.13	−0.02	0.05	scatter
LQ45 lq45	0.12	0.05	0.13	233	0.10	−0.05	0.07	scatter
Copper copper	0.36	0.14	0.11	252	0.13	+0.01	0.06	scatter
USD/IDR usdidr	0.05	0.13	0.10	251	−0.01	+0.13 ⇄	0.18	scatter
Gold gold	0.38	0.18	0.10	252	0.08	+0.11	0.05	scatter
JCI (IHSG) jci	0.02	−0.01	0.09	233	0.07	−0.07 ⇄	0.05	scatter
PHLX Semiconductor (SOX) sox	0.04	−0.17	−0.06	252	0.08	−0.25 ⇄	−0.02	scatter
INDOGB 10YR id10y	0.52	−0.16	−0.05	203	−0.05	−0.11	0.00	scatter
Nasdaq 100 ndx	0.23	0.00	0.03	252	0.17	−0.17 ⇄	0.02	scatter
Energy (XLE) sec_us_energy	0.12	−0.13	−0.01	252	0.26	−0.39 ⇄	−0.01	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 Real estate (XLRE) 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 ↓

Real estate (XLRE) · Consumer staples (XLP)

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	−0.02	0.00	−0.07	−0.06	0.13	−0.01	0.04	0.00	0.06	0.04	0.53	0.02	−0.05	0.03	0.05	−0.05	−0.01	−0.04	−0.05	0.02	−0.05

Lag +k: today's change in Real estate (XLRE) against the change in Consumer staples (XLP) k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.