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.

SRBI 12M incoming bids against…

Series	1M	3M	1Y	n 1Y	3Y	3M − 3Y ↓	Beta 1Y
SRBI 6M incoming bids srbi6m_bid	–	0.72	0.13	34	0.13	+0.59	0.66	scatter
SRBI 6M bid-to-cover srbi6m_btc	–	0.32	−0.23	34	−0.23	+0.55 ⇄	−0.34	scatter
Gold gold	–	0.75	0.22	32	0.22	+0.53	1.96	scatter
SRBI 9M bid-to-cover srbi9m_btc	–	0.45	0.00	34	0.00	+0.45	0.01	scatter
Brent brent	–	0.31	−0.10	32	−0.10	+0.41 ⇄	−0.37	scatter
LQ45 lq45	–	0.40	−0.01	34	−0.01	+0.41 ⇄	−0.06	scatter
JCI (IHSG) jci	–	0.41	0.04	34	0.04	+0.37	0.35	scatter
PHLX Semiconductor (SOX) sox	–	0.53	0.18	32	0.18	+0.35	0.84	scatter
Copper copper	–	−0.29	0.03	32	0.03	−0.32 ⇄	0.27	scatter
Bitcoin btc	–	0.59	0.33	34	0.33	+0.26	3.57	scatter
S&P 500 spx	–	−0.01	0.21	32	0.21	−0.22 ⇄	3.82	scatter
SRBI 9M incoming bids srbi9m_bid	–	0.64	0.43	34	0.43	+0.21	6.13	scatter
UST 2YR ust2y	–	−0.68	−0.48	32	−0.48	−0.20	−1.36	scatter
DXY dxy	–	−0.76	−0.58	32	−0.58	−0.18	−32.08	scatter
INDOGB 10YR id10y	–	0.16	0.04	29	0.04	+0.11	0.10	scatter
UST 10YR ust10y	–	−0.36	−0.27	32	−0.27	−0.09	−1.04	scatter
SRBI 12M bid-to-cover srbi12m_btc	–	0.11	0.17	34	0.17	−0.06	0.37	scatter
Nasdaq 100 ndx	–	0.25	0.22	32	0.22	+0.03	2.54	scatter
USD/IDR usdidr	–	−0.29	−0.27	34	−0.27	−0.02	−10.01	scatter
Newcastle coal coal	–	–	–	0	–	–	–	scatter
SBSN auction awarded sbsn_awarded	–	–	–	1	–	–	–	scatter
SBSN auction bid-to-cover sbsn_btc	–	–	–	1	–	–	–	scatter
SBSN auction incoming bids sbsn_incoming	–	–	–	1	–	–	–	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 SRBI 12M incoming bids 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 ↓

SRBI 12M incoming bids · SRBI 6M incoming bids

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	0.28	0.11	−0.32	0.08	0.11	0.18	−0.23	0.06	0.05	−0.07	0.13	0.07	−0.32	0.30	−0.06	−0.20	0.16	0.33	−0.31	−0.08	0.05

Lag +k: today's change in SRBI 12M incoming bids against the change in SRBI 6M incoming bids k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.