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 S&P 500: leveraged funds net against…

Series	1M	3M	1Y	n 1Y	3Y ↓	3M − 3Y	Beta 1Y
E-mini S&P 500: asset managers net cftc_es_am	−0.66	−0.18	−0.32	52	−0.44	+0.26	−0.58	scatter
Nasdaq 100 ndx	–	−0.30	−0.32	50	−0.32	+0.02	−11,727.27	scatter
Bitcoin (CME): leveraged funds net cftc_btc_lev	1.00	0.66	0.40	52	0.30	+0.36	16.66	scatter
PHLX Semiconductor (SOX) sox	–	−0.19	−0.30	50	−0.29	+0.10	−4,691.31	scatter
S&P 500 spx	–	−0.15	−0.25	50	−0.26	+0.11	−15,219.09	scatter
Copper: speculators (non-commercial) net cftc_copper_nc	−0.93	−0.63	−0.41	52	−0.26	−0.37	−3.01	scatter
Copper copper	–	−0.10	−0.25	50	−0.23	+0.13	−6,850.32	scatter
Brent brent	–	0.38	0.21	50	0.20	+0.18	3,316.87	scatter
E-mini Nasdaq-100: leveraged funds net cftc_nq_lev	0.84	0.30	0.11	52	0.19	+0.11	0.41	scatter
E-mini Nasdaq-100: asset managers net cftc_nq_am	−0.94	−0.25	−0.17	52	−0.19	−0.06	−1.37	scatter
INDOGB 10YR id10y	0.84	0.00	0.18	46	0.15	−0.15	2,113.86	scatter
UST 10YR ust10y	–	0.28	0.12	49	0.13	+0.15	1,789.55	scatter
USD/IDR usdidr	–	−0.06	0.17	49	0.12	−0.18 ⇄	17,747.96	scatter
Bitcoin (CME): asset managers net cftc_btc_am	−0.66	−0.62	−0.29	52	−0.12	−0.50	−28.12	scatter
E-mini Nasdaq-100: dealers net cftc_nq_dealer	−0.85	−0.31	−0.06	52	−0.11	−0.20	−0.20	scatter
DXY dxy	–	0.18	0.06	50	0.11	+0.08	9,988.64	scatter
JCI (IHSG) jci	–	−0.03	−0.12	45	−0.10	+0.07	−3,719.29	scatter
UST 2YR ust2y	–	0.41	0.06	49	0.10	+0.31	768.73	scatter
Bitcoin (CME): dealers net cftc_btc_dealer	0.04	0.07	−0.20	52	−0.08	+0.15 ⇄	−21.26	scatter
LQ45 lq45	–	−0.14	−0.11	45	−0.08	−0.06	−3,227.47	scatter
Bitcoin btc	–	−0.09	−0.03	49	−0.05	−0.04	−703.54	scatter
Gold gold	–	0.08	−0.04	50	−0.03	+0.10 ⇄	−1,076.22	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 S&P 500: 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 S&P 500: leveraged funds net · E-mini S&P 500: asset managers 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	0.00	0.00	−0.22	−0.10	0.07	0.26	0.08	−0.25	0.09	−0.04	−0.32	−0.11	0.22	−0.02	−0.13	0.23	0.12	0.02	−0.02	0.12	−0.01

Lag +k: today's change in E-mini S&P 500: leveraged funds net against the change in E-mini S&P 500: asset managers net k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.