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.

Copper against…

Series	1M	3M	1Y	n 1Y	3Y ↓	3M − 3Y	Beta 1Y
Silver silver	0.71	0.60	0.68	254	0.58	+0.02	0.28	scatter
Gold gold	0.56	0.44	0.56	254	0.40	+0.04	0.54	scatter
S&P 500 spx	0.59	0.52	0.49	252	0.34	+0.18	1.04	scatter
PHLX Semiconductor (SOX) sox	0.58	0.53	0.44	252	0.33	+0.20	0.27	scatter
Nasdaq 100 ndx	0.66	0.59	0.48	252	0.33	+0.26	0.66	scatter
DXY dxy	−0.18	−0.25	−0.34	254	−0.27	+0.02	−1.80	scatter
JCI (IHSG) jci	0.18	0.27	0.18	233	0.12	+0.15	0.19	scatter
USD/IDR usdidr	−0.22	−0.05	0.07	252	−0.11	+0.06	0.23	scatter
Bitcoin btc	0.39	0.31	0.23	253	0.10	+0.21	0.15	scatter
LQ45 lq45	0.16	0.25	0.15	233	0.07	+0.17	0.15	scatter
UST 2YR ust2y	−0.18	−0.23	−0.18	248	0.06	−0.30 ⇄	−0.06	scatter
UST 10YR ust10y	−0.27	−0.27	−0.21	248	0.06	−0.32 ⇄	−0.09	scatter
INDOGB 10YR id10y	−0.21	−0.07	−0.01	203	−0.04	−0.03	0.00	scatter
Brent brent	−0.34	−0.39	−0.21	254	0.00	−0.39	−0.10	scatter
Newcastle coal coal	–	–	–	0	–	–	–	scatter
Nickel (LME) nickel	–	–	–	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 Copper 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 ↓

Copper · Silver

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	0.06	0.09	−0.07	−0.01	0.03	−0.14	−0.01	0.10	−0.04	−0.12	0.68	−0.10	−0.02	0.02	0.01	−0.20	0.02	−0.01	−0.06	0.06	0.13

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