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.

Ultra 10YR futures: asset managers net against…

Series	1M	3M	1Y	n 1Y	3Y	3M − 3Y ↓	Beta 1Y
INDOGB 10YR id10y	0.85	0.75	−0.02	46	−0.05	+0.81 ⇄	−154.85	scatter
Bitcoin (CME): dealers net cftc_btc_dealer	0.57	0.43	0.07	52	−0.04	+0.47 ⇄	6.37	scatter
JCI (IHSG) jci	–	0.40	−0.10	45	−0.06	+0.46 ⇄	−2,510.33	scatter
Copper: speculators (non-commercial) net cftc_copper_nc	−0.71	−0.35	−0.06	52	0.03	−0.38 ⇄	−0.37	scatter
E-mini S&P 500: asset managers net cftc_es_am	−0.40	−0.44	−0.12	52	−0.13	−0.32	−0.18	scatter
Bitcoin btc	–	−0.10	0.23	49	0.19	−0.29 ⇄	3,730.95	scatter
USD/IDR usdidr	–	0.19	−0.06	49	−0.09	+0.28 ⇄	−4,572.71	scatter
LQ45 lq45	–	0.22	−0.08	45	−0.03	+0.25 ⇄	−1,854.63	scatter
PHLX Semiconductor (SOX) sox	–	−0.01	0.21	50	0.19	−0.20 ⇄	2,613.83	scatter
E-mini Nasdaq-100: asset managers net cftc_nq_am	−0.80	0.17	−0.04	52	−0.02	+0.19 ⇄	−0.30	scatter
UST 10YR ust10y	–	−0.20	−0.07	49	−0.03	−0.18	−758.70	scatter
Copper copper	–	0.15	0.00	50	−0.02	+0.17 ⇄	−64.76	scatter
Brent brent	–	−0.22	−0.07	50	−0.08	−0.14	−929.67	scatter
Bitcoin (CME): asset managers net cftc_btc_am	−0.95	−0.20	0.10	52	−0.06	−0.14	8.11	scatter
Nasdaq 100 ndx	–	0.05	0.20	50	0.18	−0.13	5,709.24	scatter
DXY dxy	–	−0.12	0.02	50	0.00	−0.13 ⇄	2,763.98	scatter
UST 2YR ust2y	–	−0.13	−0.09	49	−0.01	−0.12	−837.27	scatter
E-mini Nasdaq-100: leveraged funds net cftc_nq_lev	0.44	0.18	0.03	52	0.07	+0.12	0.09	scatter
Bitcoin (CME): leveraged funds net cftc_btc_lev	0.80	0.12	−0.07	52	0.04	+0.08	−2.56	scatter
S&P 500 spx	–	0.11	0.17	50	0.16	−0.05	7,994.27	scatter
E-mini Nasdaq-100: dealers net cftc_nq_dealer	−0.44	−0.09	0.01	52	−0.06	−0.04	0.02	scatter
Gold gold	–	−0.05	−0.01	50	−0.02	−0.03	−311.66	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 Ultra 10YR futures: asset managers 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 ↓

Ultra 10YR futures: asset managers net · INDOGB 10YR

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	−0.22	0.06	0.03	0.07	0.05	0.04	0.05	0.13	−0.10	0.18	−0.02	−0.11	0.08	0.03	−0.11	0.05	−0.08	−0.15	−0.10	−0.17	−0.18

Lag +k: today's change in Ultra 10YR futures: asset managers net against the change in INDOGB 10YR k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.