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.

Indo Tambangraya (ITMG) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
LQ45 lq45	0.81	0.75	0.29	240	0.30	+0.44	0.29	scatter
JCI (IHSG) jci	0.80	0.74	0.29	240	0.29	+0.45	0.31	scatter
Brent brent	−0.22	−0.05	0.18	239	0.13	−0.17 ⇄	0.10	scatter
INDOGB 10YR id10y	0.51	0.03	0.13	205	0.07	−0.04	0.03	scatter
Sarana Menara (TOWR.JK) TOWR.JK	−0.07	0.08	0.10	229	0.17	−0.09	0.07	scatter
DCI Indonesia (DCII.JK) DCII.JK	0.23	0.10	0.09	229	−0.03	+0.13 ⇄	0.06	scatter
Indosat (ISAT.JK) ISAT.JK	−0.48	0.19	0.07	230	0.13	+0.05	0.04	scatter
Copper copper	0.01	0.09	0.06	239	0.02	+0.07	0.07	scatter
USD/IDR usdidr	−0.38	−0.25	−0.06	245	−0.07	−0.18	−0.22	scatter
Emtek (EMTK.JK) EMTK.JK	0.15	0.34	0.06	229	0.09	+0.25	0.03	scatter
Gold gold	−0.07	0.06	0.04	239	0.04	+0.01	0.04	scatter
UST 10YR ust10y	0.20	0.07	−0.04	236	−0.02	+0.08 ⇄	−0.02	scatter
DXY dxy	−0.07	−0.20	0.03	239	−0.02	−0.17	0.17	scatter
PHLX Semiconductor (SOX) sox	0.29	0.22	−0.02	239	0.00	+0.22 ⇄	−0.02	scatter
Nasdaq 100 ndx	0.40	0.26	0.02	239	0.04	+0.23	0.03	scatter
Solusi Sinergi Digital (WIFI.JK) WIFI.JK	0.31	0.25	0.02	229	0.04	+0.21	0.01	scatter
S&P 500 spx	0.41	0.21	0.02	239	0.02	+0.19	0.04	scatter
Metrodata (MTDL.JK) MTDL.JK	−0.42	0.02	0.02	230	0.02	0.00	0.02	scatter
Bitcoin btc	−0.14	0.06	0.02	244	0.06	−0.01	0.01	scatter
UST 2YR ust2y	0.22	0.03	−0.01	236	−0.01	+0.04 ⇄	−0.01	scatter
Bukalapak (BUKA.JK) BUKA.JK	−0.16	0.17	0.00	229	0.06	+0.11	0.00	scatter
GoTo (GOTO.JK) GOTO.JK	–	–	0.00	229	0.04	–	0.00	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 Indo Tambangraya (ITMG) 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 ↓

Indo Tambangraya (ITMG) · INDOGB 10YR

20 60 120 252

Rolling correlation of daily changes over the last 252 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	−0.10	−0.02	−0.05	−0.06	0.10	−0.22	0.04	0.07	0.10	0.06	0.13	0.10	−0.11	0.01	−0.03	−0.08	0.18	−0.12	0.11	−0.09	−0.07

Lag +k: today's change in Indo Tambangraya (ITMG) 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.