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.

Unilever Indonesia (UNVR) against…

Series	1M ↓	3M	1Y	n 1Y	3Y	3M − 3Y	Beta 1Y
LQ45 lq45	0.91	0.76	0.39	240	0.36	+0.41	0.62	scatter
JCI (IHSG) jci	0.90	0.77	0.37	240	0.32	+0.45	0.63	scatter
Metrodata (MTDL.JK) MTDL.JK	−0.36	0.04	0.16	230	0.08	−0.04	0.29	scatter
Nasdaq 100 ndx	0.36	0.26	0.19	239	0.20	+0.06	0.45	scatter
Indosat (ISAT.JK) ISAT.JK	0.35	0.27	0.14	230	0.15	+0.12	0.12	scatter
Brent brent	−0.33	−0.22	−0.25	239	−0.17	−0.05	−0.22	scatter
Solusi Sinergi Digital (WIFI.JK) WIFI.JK	0.33	0.38	0.25	229	0.01	+0.37	0.17	scatter
USD/IDR usdidr	−0.29	−0.17	0.02	245	−0.05	−0.12	0.11	scatter
PHLX Semiconductor (SOX) sox	0.29	0.19	0.19	239	0.21	−0.03	0.20	scatter
S&P 500 spx	0.26	0.20	0.17	239	0.16	+0.04	0.63	scatter
DCI Indonesia (DCII.JK) DCII.JK	0.22	0.27	0.15	229	−0.09	+0.36 ⇄	0.18	scatter
DXY dxy	0.18	−0.06	−0.01	239	−0.05	−0.01	−0.06	scatter
Bukalapak (BUKA.JK) BUKA.JK	−0.18	0.07	0.22	229	0.17	−0.10	0.24	scatter
Emtek (EMTK.JK) EMTK.JK	0.17	0.40	0.17	229	0.11	+0.28	0.13	scatter
Bitcoin btc	−0.12	0.02	0.01	244	0.11	−0.08	0.01	scatter
INDOGB 10YR id10y	0.08	−0.18	−0.15	205	−0.11	−0.07	−0.06	scatter
Gold gold	−0.06	0.12	0.05	239	0.05	+0.07	0.08	scatter
UST 10YR ust10y	0.04	−0.10	−0.13	236	−0.02	−0.08	−0.09	scatter
Sarana Menara (TOWR.JK) TOWR.JK	−0.03	0.22	0.20	229	0.14	+0.08	0.23	scatter
Copper copper	−0.03	0.08	0.05	239	−0.01	+0.10 ⇄	0.09	scatter
UST 2YR ust2y	−0.02	−0.21	−0.12	236	−0.03	−0.18	−0.07	scatter
GoTo (GOTO.JK) GOTO.JK	–	–	0.05	229	0.07	–	0.07	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 Unilever Indonesia (UNVR) 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 ↓

Unilever Indonesia (UNVR) · LQ45

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	−0.07	−0.11	−0.05	−0.06	−0.03	0.02	−0.02	0.03	0.08	0.39	0.08	0.05	0.10	0.03	0.02	−0.05	−0.03	0.04	−0.01	0.05

Lag +k: today's change in Unilever Indonesia (UNVR) against the change in LQ45 k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.