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.

Copper: speculators (non-commercial) net against…

Series	1M ↓	3M	1Y	n 1Y	3Y	3M − 3Y	Beta 1Y
E-mini Nasdaq-100: asset managers net cftc_nq_am	0.99	0.11	0.29	52	0.21	−0.10	0.33	scatter
Bitcoin (CME): leveraged funds net cftc_btc_lev	−0.95	−0.76	−0.30	52	−0.21	−0.55	−1.69	scatter
E-mini Nasdaq-100: leveraged funds net cftc_nq_lev	−0.93	−0.64	−0.37	52	−0.08	−0.56	−0.20	scatter
E-mini Nasdaq-100: dealers net cftc_nq_dealer	0.91	0.45	0.17	52	0.08	+0.37	0.08	scatter
E-mini S&P 500: dealers net cftc_es_dealer	0.88	0.42	0.23	52	−0.02	+0.44 ⇄	0.03	scatter
Bitcoin (CME): asset managers net cftc_btc_am	0.60	0.51	0.19	52	0.02	+0.49	2.44	scatter
INDOGB 10YR id10y	−0.59	−0.31	−0.06	46	−0.06	−0.25	−92.17	scatter
E-mini S&P 500: asset managers net cftc_es_am	0.41	0.17	0.38	52	0.26	−0.09	0.09	scatter
Bitcoin (CME): dealers net cftc_btc_dealer	0.02	−0.10	0.04	52	−0.11	+0.01	0.58	scatter
Nasdaq 100 ndx	–	0.61	0.24	50	0.24	+0.37	1,220.41	scatter
PHLX Semiconductor (SOX) sox	–	0.57	0.16	50	0.15	+0.42	343.76	scatter
USD/IDR usdidr	–	−0.03	−0.16	49	−0.15	+0.12	−2,205.69	scatter
S&P 500 spx	–	0.40	0.16	50	0.15	+0.25	1,278.18	scatter
UST 10YR ust10y	–	−0.19	−0.15	49	−0.16	−0.03	−294.41	scatter
LQ45 lq45	–	0.33	0.09	45	0.07	+0.26	341.81	scatter
Brent brent	–	−0.26	−0.09	50	−0.09	−0.17	−198.82	scatter
Bitcoin btc	–	0.61	0.06	49	0.04	+0.57	182.72	scatter
JCI (IHSG) jci	–	0.25	0.05	45	0.03	+0.23	181.71	scatter
Gold gold	–	0.46	−0.03	50	−0.03	+0.50 ⇄	−129.17	scatter
DXY dxy	–	−0.28	0.03	50	0.03	−0.31 ⇄	562.52	scatter
Copper copper	–	0.55	0.02	50	0.02	+0.53	61.03	scatter
UST 2YR ust2y	–	−0.18	0.00	49	−0.01	−0.17	−1.48	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 Copper: speculators (non-commercial) net 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 ↓

Copper: speculators (non-commercial) net · E-mini Nasdaq-100: asset managers net

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	−0.37	0.20	−0.16	−0.27	0.12	−0.05	0.16	−0.10	0.22	0.05	0.29	0.03	−0.06	−0.12	0.03	−0.08	−0.14	−0.09	0.16	−0.11	0.02

Lag +k: today's change in Copper: speculators (non-commercial) net against the change in E-mini Nasdaq-100: asset managers net k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.