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.

E-mini Nasdaq-100: leveraged funds net against…

Series	1M	3M ↓	1Y	n 1Y	3Y	3M − 3Y	Beta 1Y
E-mini Nasdaq-100: dealers net cftc_nq_dealer	−0.99	−0.88	−0.85	52	−0.76	−0.12	−0.73	scatter
PHLX Semiconductor (SOX) sox	–	−0.71	−0.25	50	−0.23	−0.49	−1,010.30	scatter
Nasdaq 100 ndx	–	−0.68	−0.24	50	−0.21	−0.47	−2,205.45	scatter
Copper copper	–	−0.64	−0.16	50	−0.18	−0.47	−1,080.16	scatter
Copper: speculators (non-commercial) net cftc_copper_nc	−0.93	−0.64	−0.37	52	−0.08	−0.56	−0.72	scatter
Gold gold	–	−0.63	−0.16	50	−0.15	−0.48	−1,114.86	scatter
S&P 500 spx	–	−0.46	−0.12	50	−0.09	−0.38	−1,769.40	scatter
Bitcoin btc	–	−0.42	−0.13	49	−0.11	−0.31	−688.54	scatter
Bitcoin (CME): leveraged funds net cftc_btc_lev	0.88	0.34	0.08	52	0.13	+0.21	0.85	scatter
INDOGB 10YR id10y	0.60	0.26	−0.01	46	−0.02	+0.28 ⇄	−27.82	scatter
UST 2YR ust2y	–	0.25	0.11	49	0.05	+0.19	329.56	scatter
DXY dxy	–	0.23	−0.03	50	−0.07	+0.30 ⇄	−1,198.90	scatter
E-mini S&P 500: dealers net cftc_es_dealer	−0.67	−0.21	−0.08	52	−0.22	+0.02	−0.02	scatter
E-mini Nasdaq-100: asset managers net cftc_nq_am	−0.87	0.18	0.07	52	−0.06	+0.24 ⇄	0.14	scatter
Brent brent	–	0.18	0.04	50	0.02	+0.16	179.74	scatter
UST 10YR ust10y	–	0.16	−0.01	49	0.00	+0.16 ⇄	−49.90	scatter
LQ45 lq45	–	−0.14	0.21	45	0.17	−0.31 ⇄	1,534.38	scatter
USD/IDR usdidr	–	0.08	−0.10	49	−0.15	+0.23 ⇄	−2,628.17	scatter
Bitcoin (CME): asset managers net cftc_btc_am	−0.26	0.05	−0.01	52	0.02	+0.02	−0.29	scatter
E-mini S&P 500: asset managers net cftc_es_am	−0.51	0.03	−0.05	52	−0.19	+0.22 ⇄	−0.02	scatter
Bitcoin (CME): dealers net cftc_btc_dealer	−0.39	0.01	−0.02	52	−0.15	+0.15 ⇄	−0.42	scatter
JCI (IHSG) jci	–	0.00	0.25	45	0.21	−0.21	1,948.80	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 E-mini Nasdaq-100: 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 ↓

E-mini Nasdaq-100: leveraged funds net · E-mini Nasdaq-100: dealers 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	−0.10	0.38	0.18	−0.31	0.06	0.13	0.02	−0.19	0.14	−0.08	−0.85	0.27	0.10	−0.14	0.16	0.22	−0.11	−0.13	0.48	0.08	−0.22

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