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.

Indofood (INDF) against…

Series	1M ↓	3M	1Y	n 1Y	3Y	3M − 3Y	Beta 1Y
JCI (IHSG) jci	0.71	0.58	0.38	240	0.37	+0.21	0.37	scatter
LQ45 lq45	0.71	0.56	0.41	240	0.41	+0.15	0.37	scatter
INDOGB 10YR id10y	−0.59	−0.15	−0.19	205	−0.16	+0.01	−0.04	scatter
Solusi Sinergi Digital (WIFI.JK) WIFI.JK	0.46	0.38	0.19	229	0.10	+0.28	0.07	scatter
Sarana Menara (TOWR.JK) TOWR.JK	0.44	0.28	0.30	229	0.18	+0.10	0.20	scatter
Emtek (EMTK.JK) EMTK.JK	0.34	0.31	0.18	229	0.11	+0.20	0.08	scatter
Nasdaq 100 ndx	0.30	0.39	0.19	239	0.12	+0.27	0.25	scatter
Metrodata (MTDL.JK) MTDL.JK	0.30	0.10	0.20	230	0.11	−0.02	0.22	scatter
Bukalapak (BUKA.JK) BUKA.JK	0.27	0.08	0.17	229	0.12	−0.04	0.11	scatter
S&P 500 spx	0.24	0.28	0.20	239	0.10	+0.18	0.42	scatter
USD/IDR usdidr	−0.22	−0.04	−0.13	245	−0.10	+0.07	−0.42	scatter
DXY dxy	0.20	−0.15	−0.04	239	0.03	−0.18 ⇄	−0.20	scatter
Brent brent	−0.18	−0.18	−0.12	239	−0.04	−0.13	−0.06	scatter
Bitcoin btc	−0.18	0.08	0.10	244	0.11	−0.03	0.06	scatter
PHLX Semiconductor (SOX) sox	0.16	0.37	0.12	239	0.08	+0.29	0.07	scatter
Gold gold	−0.11	0.20	0.12	239	0.09	+0.10	0.12	scatter
Indosat (ISAT.JK) ISAT.JK	0.07	0.36	0.22	230	0.18	+0.17	0.11	scatter
DCI Indonesia (DCII.JK) DCII.JK	0.06	0.31	0.15	229	−0.05	+0.35 ⇄	0.10	scatter
UST 2YR ust2y	−0.04	−0.21	−0.05	236	0.03	−0.24 ⇄	−0.02	scatter
UST 10YR ust10y	0.03	−0.10	−0.06	236	0.02	−0.12 ⇄	−0.03	scatter
Copper copper	0.01	0.32	0.15	239	0.12	+0.21	0.15	scatter
GoTo (GOTO.JK) GOTO.JK	–	–	−0.01	229	0.05	–	−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 Indofood (INDF) 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 ↓

Indofood (INDF) · JCI (IHSG)

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	0.03	0.06	−0.06	−0.09	−0.01	0.13	−0.02	−0.01	0.00	−0.01	0.38	0.16	0.00	0.06	−0.06	−0.04	−0.05	−0.05	0.02	0.01	−0.04

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