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.

XLSmart (EXCL.JK) against…

Series	1M ↓	3M	1Y	n 1Y	3Y	3M − 3Y	Beta 1Y
Bitcoin btc	−0.68	−0.09	0.01	230	0.01	−0.10 ⇄	0.02	scatter
Solusi Sinergi Digital (WIFI.JK) WIFI.JK	0.68	0.53	0.43	244	0.17	+0.36	0.35	scatter
LQ45 lq45	0.64	0.38	0.51	225	0.36	+0.02	1.14	scatter
JCI (IHSG) jci	0.59	0.50	0.57	225	0.45	+0.05	1.34	scatter
Emtek (EMTK.JK) EMTK.JK	0.52	0.38	0.38	244	0.34	+0.04	0.33	scatter
Indosat (ISAT.JK) ISAT.JK	0.49	0.46	0.41	244	0.33	+0.13	0.45	scatter
INDOGB 10YR id10y	−0.44	−0.20	−0.18	216	−0.18	−0.02	−0.09	scatter
Sarana Menara (TOWR.JK) TOWR.JK	0.42	0.29	0.33	244	0.19	+0.10	0.48	scatter
Brent brent	0.41	−0.03	−0.09	223	−0.09	+0.07	−0.10	scatter
PHLX Semiconductor (SOX) sox	−0.38	0.12	−0.04	223	0.01	+0.11	−0.06	scatter
DXY dxy	0.37	−0.18	−0.14	223	−0.04	−0.14	−1.65	scatter
S&P 500 spx	−0.34	0.11	0.00	223	0.02	+0.09	0.00	scatter
Nasdaq 100 ndx	−0.32	0.15	−0.02	223	0.03	+0.12	−0.05	scatter
USD/IDR usdidr	0.27	0.28	0.03	229	−0.02	+0.30 ⇄	0.21	scatter
Metrodata (MTDL.JK) MTDL.JK	0.24	0.35	0.29	244	0.19	+0.16	0.66	scatter
Copper copper	0.16	0.06	0.03	223	−0.02	+0.08 ⇄	0.07	scatter
Gold gold	−0.13	0.02	0.11	223	0.02	0.00	0.23	scatter
UST 10YR ust10y	0.13	−0.06	0.03	223	0.04	−0.10 ⇄	0.02	scatter
DCI Indonesia (DCII.JK) DCII.JK	−0.09	0.30	0.23	244	0.14	+0.16	0.35	scatter
UST 2YR ust2y	0.07	−0.16	0.02	223	0.02	−0.18 ⇄	0.02	scatter
Bukalapak (BUKA.JK) BUKA.JK	0.06	0.11	0.28	244	0.24	−0.13	0.38	scatter
GoTo (GOTO.JK) GOTO.JK	–	–	0.16	244	0.09	–	0.26	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 XLSmart (EXCL.JK) 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 ↓

XLSmart (EXCL.JK) · Bitcoin

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	−0.06	0.06	0.01	−0.02	0.14	−0.10	−0.01	0.08	0.01	0.10	0.01	−0.04	0.04	0.21	0.06	0.14	−0.09	−0.14	0.04	0.01	−0.02

Lag +k: today's change in XLSmart (EXCL.JK) against the change in Bitcoin k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.