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.

Bitcoin (CME): leveraged funds net against…

Series	1M	3M ↓	1Y	n 1Y	3Y	3M − 3Y	Beta 1Y
Copper: speculators (non-commercial) net cftc_copper_nc	−0.95	−0.76	−0.30	52	−0.21	−0.55	−0.05	scatter
Bitcoin (CME): asset managers net cftc_btc_am	−0.62	−0.72	−0.72	52	−0.44	−0.28	−1.66	scatter
E-mini S&P 500: dealers net cftc_es_dealer	−0.93	−0.53	−0.31	52	−0.11	−0.42	−0.01	scatter
Bitcoin btc	–	−0.50	−0.37	49	−0.38	−0.13	−189.23	scatter
Nasdaq 100 ndx	–	−0.46	−0.32	49	−0.31	−0.15	−281.72	scatter
PHLX Semiconductor (SOX) sox	–	−0.41	−0.13	49	−0.13	−0.28	−50.20	scatter
E-mini Nasdaq-100: asset managers net cftc_nq_am	−0.95	−0.37	−0.20	52	−0.14	−0.23	−0.04	scatter
Copper copper	–	−0.34	−0.12	49	−0.12	−0.23	−77.71	scatter
E-mini Nasdaq-100: leveraged funds net cftc_nq_lev	0.88	0.34	0.08	52	0.13	+0.21	0.01	scatter
Gold gold	–	−0.31	−0.01	49	0.00	−0.31 ⇄	−3.89	scatter
UST 2YR ust2y	–	0.29	0.13	49	0.07	+0.22	36.59	scatter
S&P 500 spx	–	−0.26	−0.30	49	−0.29	+0.03	−438.24	scatter
Brent brent	–	0.23	0.15	49	0.13	+0.10	56.27	scatter
UST 10YR ust10y	–	0.20	0.12	49	0.10	+0.10	43.08	scatter
LQ45 lq45	–	−0.16	−0.15	45	−0.14	−0.02	−97.94	scatter
JCI (IHSG) jci	–	−0.16	−0.16	45	−0.16	0.00	−117.92	scatter
E-mini Nasdaq-100: dealers net cftc_nq_dealer	−0.89	−0.16	0.01	52	−0.06	−0.10	0.00	scatter
E-mini S&P 500: asset managers net cftc_es_am	−0.66	−0.14	−0.16	52	−0.24	+0.10	−0.01	scatter
INDOGB 10YR id10y	0.82	−0.11	−0.03	46	−0.01	−0.10	−8.68	scatter
Bitcoin (CME): dealers net cftc_btc_dealer	−0.02	−0.08	−0.61	52	−0.35	+0.27	−1.54	scatter
DXY dxy	–	0.06	0.11	49	0.12	−0.06	419.32	scatter
USD/IDR usdidr	–	0.01	0.37	49	0.32	−0.31	934.47	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 Bitcoin (CME): 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 ↓

Bitcoin (CME): leveraged funds net · Copper: speculators (non-commercial) 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	−0.05	−0.05	−0.07	0.18	0.22	0.05	−0.05	0.08	−0.09	0.30	−0.30	−0.06	0.00	0.07	−0.09	−0.19	−0.24	−0.01	0.03	0.26	0.14

Lag +k: today's change in Bitcoin (CME): leveraged funds net against the change in Copper: speculators (non-commercial) net k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.