US Composite Leading Indicator vs Euro Area CLI: Correlation Analysis
Pearson correlation of daily returns for US OECD CLI and Euro Area 4 OECD CLI. Rolling windows, yearly breakdown, regression beta, and divergence analysis. Data window spans to (31 aligned observations).
What the Number Means
At 0.75, US OECD CLI and Euro Area 4 OECD CLI have a strong tendency to move together. Most daily moves align, though divergences are common enough that the relationship should not be treated as deterministic. A shared regime or macro factor is likely driving both.
Recent vs Long-Run Behavior
Recent correlation tracks the long-run relationship closely. No meaningful divergence. The historical pattern between US OECD CLI and Euro Area 4 OECD CLI is intact and should continue to serve as a reasonable baseline for positioning.
Statistical Details (1-Year Window)
| Pearson Correlation (r) | +0.747 |
| R-Squared (r²) | 0.558 |
| Beta (US OECD CLI vs Euro Area 4 OECD CLI) | 0.396 |
| Daily Volatility σ(US OECD CLI) | 0.13% |
| Daily Volatility σ(Euro Area 4 OECD CLI) | 0.25% |
| Observations | 31 |
Correlation measures directional co-movement; R² quantifies the fraction of variance explained by the linear relationship. Beta is the slope coefficient from regressing US OECD CLI returns on Euro Area 4 OECD CLI returns. A beta above 1 means the first asset amplifies moves of the second.
Year-by-Year Correlation
| Year | Correlation | Strength | Observations |
|---|---|---|---|
| 2024 | — | Insufficient data | 1 |
| 2023 | -0.911 | Very strong negative | 12 |
| 2022 | +0.604 | Strong positive | 12 |
| 2021 | -0.396 | Weak negative | 6 |
Year-by-year correlation reveals how the relationship has held up across different macro regimes. Sharp year-over-year swings in correlation often mark the transition between stress and calm periods.
Methodology
Correlations are computed on daily log-adjacent returns for US OECD CLI and Euro Area 4 OECD CLI, aligned on shared trading dates. We use the Pearson product-moment coefficient, which measures the linear relationship between two return series.
Windows are the most recent N observations for 30D, 90D, and 1Y (252 trading days); the 5Y figure uses all aligned data up to 1,260 observations. Beta is the OLS slope from regressing the first series on the second. Data updates daily with a 24-hour revalidation cadence.
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Get daily macro analysis on shifting correlations, regime transitions, and cross-asset signals.
Correlation is not causation and backward-looking statistics can fail when regimes shift. Positions sized on historical correlation assumptions should be stress-tested against scenarios where the relationship breaks. For informational purposes only.