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.

Gilt 10YR against…

Series	1M	3M ↓	1Y	n 1Y	3Y	3M − 3Y	Beta 1Y
UST 10YR ust10y	0.96	0.84	0.58	238	0.66	+0.17	0.84	scatter
Brent brent	0.75	0.70	0.61	237	0.50	+0.20	1.07	scatter
UST 2YR ust2y	0.70	0.68	0.48	238	0.55	+0.13	0.62	scatter
S&P 500 spx	−0.75	−0.62	−0.40	237	−0.05	−0.56	−3.05	scatter
Nasdaq 100 ndx	−0.73	−0.54	−0.33	237	−0.05	−0.49	−1.62	scatter
Copper copper	−0.65	−0.49	−0.23	237	0.02	−0.51 ⇄	−0.83	scatter
Brazil 10YR br10y	0.17	0.41	0.41	270	0.35	+0.06	0.23	scatter
PHLX Semiconductor (SOX) sox	−0.65	−0.38	−0.24	237	−0.04	−0.34	−0.51	scatter
Gold gold	−0.27	−0.33	−0.21	237	−0.11	−0.22	−0.71	scatter
Bitcoin btc	−0.32	−0.33	−0.14	254	−0.07	−0.26	−0.32	scatter
DXY dxy	0.31	0.32	0.24	237	0.02	+0.29	4.49	scatter
INDOGB 10YR id10y	−0.25	−0.23	0.08	222	0.23	−0.45 ⇄	0.06	scatter
USD/IDR usdidr	0.00	−0.22	−0.06	245	−0.11	−0.11	−0.67	scatter
JCI (IHSG) jci	0.34	0.11	−0.03	226	0.00	+0.11 ⇄	−0.12	scatter
LQ45 lq45	0.20	0.03	−0.08	226	−0.04	+0.07 ⇄	−0.29	scatter
Newcastle coal coal	–	–	–	0	–	–	–	scatter
INDOGB 10Y idgb_10y	–	–	–	0	–	–	–	scatter
INDOGB 15Y idgb_15y	–	–	–	0	–	–	–	scatter
INDOGB 1Y idgb_1y	–	–	–	0	–	–	–	scatter
INDOGB 20Y idgb_20y	–	–	–	0	–	–	–	scatter
INDOGB 30Y idgb_30y	–	–	–	0	–	–	–	scatter
INDOGB 3Y idgb_3y	–	–	–	0	–	–	–	scatter
INDOGB 5Y idgb_5y	–	–	–	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 Gilt 10YR 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 ↓

Gilt 10YR · UST 10YR

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	0.08	−0.16	0.03	−0.03	0.07	−0.02	0.02	−0.13	−0.02	−0.02	0.58	−0.06	−0.05	0.02	0.07	−0.04	0.03	−0.11	−0.01	0.01	0.15

Lag +k: today's change in Gilt 10YR against the change in UST 10YR k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.