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.

Utilities (XLU) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
UST 10YR ust10y	−0.75	−0.41	−0.32	238	−0.30	−0.10	−0.07	scatter
S&P 500 equal weight (RSP) rsp	0.62	0.22	0.30	238	0.48	−0.26	0.40	scatter
UST 2YR ust2y	−0.72	−0.35	−0.26	238	−0.25	−0.09	−0.05	scatter
WisdomTree Cloud (WCLD) wcld	−0.38	−0.28	−0.26	250	−0.02	−0.26	−0.10	scatter
First Trust Cybersecurity (CIBR) cibr	−0.42	−0.34	−0.22	250	−0.02	−0.32	−0.12	scatter
MSCI ACWI (ETF) acwi	0.51	0.18	0.16	238	0.35	−0.17	0.17	scatter
DXY dxy	−0.43	−0.15	−0.14	238	−0.17	+0.02	−0.42	scatter
MSCI EM (ETF) eem	0.50	−0.01	0.11	250	0.26	−0.28 ⇄	0.07	scatter
S&P 500 spx	0.38	0.11	0.11	238	0.31	−0.20	0.13	scatter
Gold gold	0.39	0.12	0.10	238	0.18	−0.06	0.05	scatter
Brent brent	−0.52	−0.08	−0.09	238	−0.07	−0.01	−0.02	scatter
USD/IDR usdidr	−0.18	−0.02	0.08	238	−0.09	+0.07	0.15	scatter
MSCI Indonesia (EIDO, USD) eido	0.22	0.01	0.07	238	0.22	−0.22	0.04	scatter
Copper copper	0.50	0.02	0.07	238	0.14	−0.12	0.04	scatter
VanEck Semiconductor (SMH) smh	0.26	−0.03	0.07	250	0.14	−0.17 ⇄	0.03	scatter
INDOGB 10YR id10y	0.16	0.07	−0.07	213	−0.12	+0.20 ⇄	−0.01	scatter
PHLX Semiconductor (SOX) sox	0.30	0.17	0.06	238	0.15	+0.02	0.02	scatter
LQ45 lq45	0.01	−0.02	0.06	220	0.10	−0.12 ⇄	0.03	scatter
JCI (IHSG) jci	−0.22	0.00	0.06	220	0.10	−0.10	0.03	scatter
Bitcoin btc	−0.10	−0.17	0.03	239	0.09	−0.26 ⇄	0.01	scatter
KraneShares China Internet (KWEB) kweb	0.06	−0.31	0.01	250	0.18	−0.50 ⇄	0.01	scatter
Nasdaq 100 ndx	0.28	0.06	0.01	238	0.17	−0.10	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 Utilities (XLU) 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 ↓

Utilities (XLU) · UST 10YR

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	−0.07	−0.09	0.02	0.02	−0.15	0.04	0.04	−0.05	0.09	−0.03	−0.32	−0.07	−0.10	0.02	−0.05	0.04	0.01	−0.10	−0.06	−0.07	0.02

Lag +k: today's change in Utilities (XLU) against the change in UST 10YR k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.