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.

Japanese yen: leveraged funds net against…

Series	1M	3M	1Y	n 1Y	3Y ↓	3M − 3Y	Beta 1Y
E-mini Nasdaq-100: asset managers net cftc_nq_am	−0.50	−0.42	−0.22	52	−0.21	−0.21	−0.68	scatter
Bitcoin btc	–	−0.42	−0.19	49	−0.19	−0.23	−1,485.28	scatter
Copper copper	–	0.34	0.20	50	0.19	+0.15	2,084.38	scatter
DXY dxy	–	−0.31	−0.15	50	−0.14	−0.17	−9,400.52	scatter
PHLX Semiconductor (SOX) sox	–	0.35	0.11	50	0.12	+0.23	641.40	scatter
Gold gold	–	0.22	0.14	50	0.12	+0.11	1,470.74	scatter
Copper: speculators (non-commercial) net cftc_copper_nc	−0.40	−0.13	−0.11	52	−0.11	−0.02	−0.30	scatter
Bitcoin (CME): leveraged funds net cftc_btc_lev	0.56	0.20	0.11	52	0.11	+0.10	1.76	scatter
S&P 500 spx	–	0.09	0.07	50	0.09	0.00	1,535.90	scatter
Bitcoin (CME): asset managers net cftc_btc_am	−0.90	−0.42	−0.17	52	−0.08	−0.34	−6.31	scatter
Nasdaq 100 ndx	–	0.21	0.06	50	0.08	+0.13	853.81	scatter
E-mini Nasdaq-100: leveraged funds net cftc_nq_lev	0.09	−0.06	0.07	52	0.06	−0.12 ⇄	0.10	scatter
USD/IDR usdidr	–	−0.13	−0.05	49	−0.04	−0.09	−2,121.98	scatter
E-mini Nasdaq-100: dealers net cftc_nq_dealer	−0.12	0.18	0.02	52	0.04	+0.14	0.03	scatter
Bitcoin (CME): dealers net cftc_btc_dealer	0.71	0.07	−0.05	52	−0.04	+0.11 ⇄	−2.11	scatter
UST 10YR ust10y	–	0.08	0.04	49	0.04	+0.05	220.44	scatter
Brent brent	–	0.07	0.04	50	0.03	+0.04	263.06	scatter
INDOGB 10YR id10y	0.98	−0.10	0.02	46	0.02	−0.12 ⇄	75.29	scatter
JCI (IHSG) jci	–	−0.03	0.02	45	−0.01	−0.02	254.00	scatter
E-mini S&P 500: asset managers net cftc_es_am	−0.38	−0.23	0.07	52	0.01	−0.24 ⇄	0.04	scatter
LQ45 lq45	–	0.03	0.02	45	0.00	+0.03 ⇄	270.77	scatter
UST 2YR ust2y	–	0.14	0.00	49	0.00	+0.14	9.76	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 Japanese yen: 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 ↓

Japanese yen: leveraged funds net · E-mini Nasdaq-100: 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	0.11	0.11	−0.19	−0.08	−0.22	−0.06	0.18	0.10	−0.04	0.06	−0.22	−0.03	0.31	0.09	−0.36	−0.14	−0.02	−0.01	0.20	0.21	0.02

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