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.

US dollar index: leveraged funds net against…

Series	1M	3M ↓	1Y	n 1Y	3Y	3M − 3Y	Beta 1Y
Bitcoin btc	–	0.89	0.14	49	0.13	+0.76	267.45	scatter
Copper: speculators (non-commercial) net cftc_copper_nc	0.91	0.68	0.31	52	0.03	+0.66	0.21	scatter
Bitcoin (CME): leveraged funds net cftc_btc_lev	−0.87	−0.56	−0.15	52	−0.03	−0.53	−0.57	scatter
UST 10YR ust10y	–	−0.55	−0.31	49	−0.24	−0.31	−399.29	scatter
S&P 500 spx	–	0.55	0.19	49	0.18	+0.37	1,033.40	scatter
Brent brent	–	−0.51	−0.16	49	−0.14	−0.36	−230.53	scatter
Bitcoin (CME): asset managers net cftc_btc_am	0.87	0.50	0.13	52	0.31	+0.19	1.16	scatter
Nasdaq 100 ndx	–	0.48	0.20	49	0.19	+0.29	668.88	scatter
Gold gold	–	0.45	0.13	49	0.11	+0.34	326.52	scatter
E-mini Nasdaq-100: leveraged funds net cftc_nq_lev	−0.69	−0.41	−0.06	52	0.03	−0.43 ⇄	−0.02	scatter
JCI (IHSG) jci	–	0.38	0.16	45	0.16	+0.22	432.63	scatter
Bitcoin (CME): dealers net cftc_btc_dealer	−0.40	−0.38	−0.08	52	−0.04	−0.34	−0.77	scatter
LQ45 lq45	–	0.37	0.09	45	0.10	+0.27	226.78	scatter
UST 2YR ust2y	–	−0.36	−0.16	49	−0.08	−0.28	−179.02	scatter
DXY dxy	–	−0.30	−0.21	49	−0.06	−0.24	−3,152.78	scatter
PHLX Semiconductor (SOX) sox	–	0.27	0.06	49	0.06	+0.21	87.03	scatter
E-mini Nasdaq-100: dealers net cftc_nq_dealer	0.66	0.19	0.03	52	−0.04	+0.23 ⇄	0.01	scatter
E-mini Nasdaq-100: asset managers net cftc_nq_am	0.96	0.18	−0.04	52	−0.08	+0.26 ⇄	−0.03	scatter
E-mini S&P 500: asset managers net cftc_es_am	0.25	0.18	0.29	52	−0.03	+0.21 ⇄	0.05	scatter
Copper copper	–	0.17	0.04	49	0.09	+0.08	109.10	scatter
USD/IDR usdidr	–	−0.13	−0.20	49	−0.11	−0.02	−1,880.15	scatter
INDOGB 10YR id10y	−0.59	−0.10	−0.05	46	−0.01	−0.09	−51.53	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 US dollar index: 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 ↓

US dollar index: 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	0.05	−0.22	−0.23	−0.17	−0.28	0.06	0.10	0.10	0.26	0.19	0.14	−0.07	0.10	0.01	0.13	−0.15	−0.05	−0.19	−0.31	0.03	−0.10

Lag +k: today's change in US dollar index: 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.