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.

US natural gas against…

Series	1M	3M	1Y	n 1Y	3Y ↓	3M − 3Y	Beta 1Y
DXY dxy	−0.11	−0.05	−0.05	254	−0.08	+0.03	−0.90	scatter
S&P 500 spx	0.08	−0.01	−0.06	252	−0.06	+0.06	−0.44	scatter
Gold gold	0.21	0.10	0.05	254	0.06	+0.03	0.16	scatter
Brent brent	0.29	0.30	0.13	254	0.06	+0.24	0.21	scatter
WTI wti	0.15	0.26	0.12	254	0.06	+0.20	0.19	scatter
LQ45 lq45	0.06	−0.05	0.02	233	−0.05	+0.01	0.06	scatter
USD/IDR usdidr	−0.25	−0.18	0.01	252	−0.05	−0.14	0.10	scatter
UST 2YR ust2y	−0.05	0.06	0.05	248	−0.05	+0.10 ⇄	0.06	scatter
PHLX Semiconductor (SOX) sox	0.07	−0.02	−0.05	252	−0.04	+0.02	−0.11	scatter
Nasdaq 100 ndx	0.12	0.02	−0.04	252	−0.04	+0.06 ⇄	−0.17	scatter
Bitcoin btc	−0.11	−0.04	0.01	253	0.02	−0.07 ⇄	0.02	scatter
INDOGB 10YR id10y	−0.60	−0.02	−0.03	203	−0.02	0.00	−0.02	scatter
Copper copper	0.30	−0.02	−0.17	254	−0.02	0.00	−0.57	scatter
JCI (IHSG) jci	0.12	0.00	0.05	233	−0.02	+0.02	0.18	scatter
UST 10YR ust10y	0.21	0.20	0.07	248	0.00	+0.20 ⇄	0.10	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 US natural gas 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 ↓

US natural gas · DXY

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	0.03	0.08	0.00	0.17	−0.03	0.08	0.13	−0.03	0.06	−0.13	−0.05	−0.06	−0.11	−0.07	0.00	−0.03	0.02	0.15	0.09	−0.02	−0.06

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