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.

SRBI 9M awarded yield (w.avg) against…

Series	1M	3M ↓	1Y	n 1Y	3Y	3M − 3Y	Beta 1Y
SRBI 6M awarded yield (w.avg) srbi6m	–	0.96	0.95	36	0.95	+0.01	0.98	scatter
SRBI 12M awarded yield (w.avg) srbi12m	–	0.94	0.96	36	0.96	−0.01	0.88	scatter
Gold gold	–	0.70	−0.01	34	−0.01	+0.70 ⇄	−0.05	scatter
INDOGB 10YR id10y	–	0.64	0.18	30	0.18	+0.47	0.33	scatter
DXY dxy	–	−0.56	0.00	34	0.00	−0.56	−0.17	scatter
UST 2YR ust2y	–	−0.55	−0.11	34	−0.11	−0.44	−0.25	scatter
UST 10YR ust10y	–	−0.55	−0.13	34	−0.13	−0.42	−0.42	scatter
Bitcoin btc	–	0.49	−0.06	36	−0.06	+0.55 ⇄	−0.49	scatter
S&P 500 spx	–	0.36	−0.07	34	−0.07	+0.43 ⇄	−0.97	scatter
PHLX Semiconductor (SOX) sox	–	0.31	0.08	34	0.08	+0.23	0.34	scatter
SOFR sofr	–	−0.25	0.11	34	0.11	−0.36 ⇄	0.66	scatter
Nasdaq 100 ndx	–	0.23	−0.02	34	−0.02	+0.24 ⇄	−0.15	scatter
USD/IDR usdidr	–	0.21	0.06	36	0.06	+0.15	1.64	scatter
Copper copper	–	−0.14	0.10	34	0.10	−0.24 ⇄	0.82	scatter
JCI (IHSG) jci	–	−0.13	0.03	36	0.03	−0.16 ⇄	0.19	scatter
LQ45 lq45	–	−0.08	−0.02	36	−0.02	−0.06	−0.15	scatter
Brent brent	–	−0.04	−0.04	34	−0.04	0.00	−0.11	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

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 SRBI 9M awarded yield (w.avg) 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 ↓

SRBI 9M awarded yield (w.avg) · SRBI 6M awarded yield (w.avg)

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	0.00	0.04	−0.02	0.16	0.24	0.22	0.29	0.42	0.34	0.34	0.95	0.38	0.27	0.44	0.35	0.08	0.33	0.08	−0.09	0.07	0.00

Lag +k: today's change in SRBI 9M awarded yield (w.avg) against the change in SRBI 6M awarded yield (w.avg) k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.