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: dealers net against…

Series	1M	3M	1Y	n 1Y	3Y	3M − 3Y ↓	Beta 1Y
DXY dxy	–	0.45	0.14	50	0.10	+0.35	17,671.52	scatter
Bitcoin (CME): asset managers net cftc_btc_am	0.81	0.38	0.08	52	0.06	+0.32	6.08	scatter
E-mini S&P 500: asset managers net cftc_es_am	0.56	0.32	−0.08	52	0.01	+0.32	−0.10	scatter
Bitcoin (CME): leveraged funds net cftc_btc_lev	−0.61	−0.28	−0.03	52	−0.03	−0.25	−0.84	scatter
Bitcoin btc	–	0.40	0.15	49	0.15	+0.25	2,407.49	scatter
E-mini Nasdaq-100: asset managers net cftc_nq_am	0.49	0.42	0.18	52	0.23	+0.19	1.11	scatter
PHLX Semiconductor (SOX) sox	–	−0.28	−0.13	50	−0.13	−0.15	−1,494.49	scatter
E-mini Nasdaq-100: dealers net cftc_nq_dealer	0.20	−0.17	−0.06	52	−0.03	−0.13	−0.16	scatter
Copper: speculators (non-commercial) net cftc_copper_nc	0.40	0.17	0.06	52	0.05	+0.12	0.34	scatter
Gold gold	–	−0.14	−0.03	50	−0.02	−0.12	−715.99	scatter
INDOGB 10YR id10y	−1.00	0.04	−0.05	46	−0.07	+0.11 ⇄	−483.51	scatter
Copper copper	–	−0.24	−0.14	50	−0.14	−0.10	−2,937.76	scatter
UST 2YR ust2y	–	−0.08	0.03	49	0.02	−0.09 ⇄	289.77	scatter
USD/IDR usdidr	–	0.17	0.12	49	0.08	+0.09	9,673.27	scatter
LQ45 lq45	–	−0.15	−0.08	45	−0.06	−0.09	−1,805.34	scatter
E-mini Nasdaq-100: leveraged funds net cftc_nq_lev	−0.15	0.02	−0.01	52	−0.07	+0.09 ⇄	−0.03	scatter
Nasdaq 100 ndx	–	−0.18	−0.11	50	−0.12	−0.07	−3,058.26	scatter
Bitcoin (CME): dealers net cftc_btc_dealer	−0.55	0.01	−0.03	52	0.07	−0.06	−2.47	scatter
Brent brent	–	0.04	−0.01	50	0.00	+0.05 ⇄	−94.32	scatter
JCI (IHSG) jci	–	−0.09	−0.07	45	−0.05	−0.04	−1,629.47	scatter
UST 10YR ust10y	–	0.06	0.04	49	0.03	+0.03	401.36	scatter
S&P 500 spx	–	−0.11	−0.13	50	−0.13	+0.02	−5,698.03	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: dealers 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: dealers net · DXY

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	−0.01	0.07	0.10	−0.14	−0.21	−0.05	0.04	0.12	0.02	0.22	0.14	−0.22	−0.31	0.06	−0.11	0.05	0.08	−0.02	0.08	0.15	0.21

Lag +k: today's change in Japanese yen: dealers net 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.