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.

UST bond futures: leveraged funds net against…

Series	1M	3M ↓	1Y	n 1Y	3Y	3M − 3Y	Beta 1Y
Bitcoin btc	–	−0.69	−0.07	49	−0.07	−0.62	−945.85	scatter
JCI (IHSG) jci	–	−0.62	−0.09	45	−0.10	−0.52	−1,621.95	scatter
LQ45 lq45	–	−0.54	−0.09	45	−0.10	−0.44	−1,581.12	scatter
Bitcoin (CME): dealers net cftc_btc_dealer	0.93	0.40	0.14	52	0.00	+0.40	9.49	scatter
INDOGB 10YR id10y	−0.12	−0.39	0.04	46	0.02	−0.41 ⇄	286.58	scatter
USD/IDR usdidr	–	0.32	−0.08	49	−0.07	+0.38 ⇄	−5,481.02	scatter
Bitcoin (CME): asset managers net cftc_btc_am	−0.79	−0.29	−0.09	52	−0.01	−0.28	−5.92	scatter
UST 2YR ust2y	–	−0.27	−0.15	49	−0.18	−0.09	−1,182.46	scatter
E-mini S&P 500: asset managers net cftc_es_am	0.53	0.21	−0.16	52	−0.14	+0.35 ⇄	−0.19	scatter
S&P 500 spx	–	−0.19	0.29	50	0.32	−0.51 ⇄	11,588.66	scatter
E-mini Nasdaq-100: asset managers net cftc_nq_am	−0.31	−0.18	−0.11	52	0.10	−0.28 ⇄	−0.60	scatter
Bitcoin (CME): leveraged funds net cftc_btc_lev	0.08	0.17	−0.03	52	0.06	+0.10	−0.92	scatter
Gold gold	–	−0.14	0.32	50	0.26	−0.40 ⇄	5,706.04	scatter
Brent brent	–	−0.13	0.06	50	0.03	−0.16 ⇄	586.69	scatter
UST 10YR ust10y	–	−0.08	−0.16	49	−0.18	+0.10	−1,499.68	scatter
Copper copper	–	0.07	0.31	50	0.27	−0.19	5,461.13	scatter
E-mini Nasdaq-100: leveraged funds net cftc_nq_lev	−0.16	0.06	0.09	52	0.02	+0.04	0.21	scatter
PHLX Semiconductor (SOX) sox	–	0.06	0.29	50	0.30	−0.24	2,951.64	scatter
Copper: speculators (non-commercial) net cftc_copper_nc	−0.19	−0.05	−0.07	52	0.02	−0.07 ⇄	−0.34	scatter
DXY dxy	–	−0.05	−0.41	50	−0.44	+0.39	−42,928.27	scatter
E-mini Nasdaq-100: dealers net cftc_nq_dealer	0.24	0.04	0.03	52	0.00	+0.05 ⇄	0.07	scatter
Nasdaq 100 ndx	–	−0.04	0.31	50	0.32	−0.37 ⇄	7,414.16	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 UST bond futures: leveraged funds 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 ↓

UST bond futures: leveraged funds net · Bitcoin

20 60 120 252

Not enough common dates for a rolling correlation.

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	−0.17	0.24	0.05	−0.03	−0.03	−0.20	−0.07	0.19	0.05	−0.07	−0.07	0.13	0.00	0.04	0.05	0.29	−0.02	0.12	−0.10	−0.10	−0.16

Lag +k: today's change in UST bond futures: leveraged funds net 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.