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.

Semen Indonesia (SMGR) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
LQ45 lq45	0.80	0.63	0.55	240	0.51	+0.12	1.01	scatter
JCI (IHSG) jci	0.76	0.61	0.51	240	0.46	+0.15	1.02	scatter
Bukalapak (BUKA.JK) BUKA.JK	0.57	0.56	0.37	229	0.33	+0.23	0.48	scatter
Emtek (EMTK.JK) EMTK.JK	0.80	0.52	0.31	229	0.21	+0.30	0.26	scatter
Solusi Sinergi Digital (WIFI.JK) WIFI.JK	0.11	0.22	0.30	229	0.09	+0.13	0.24	scatter
Sarana Menara (TOWR.JK) TOWR.JK	0.82	0.02	0.27	229	0.25	−0.23	0.37	scatter
Indosat (ISAT.JK) ISAT.JK	0.19	−0.03	0.26	229	0.19	−0.22 ⇄	0.27	scatter
Metrodata (MTDL.JK) MTDL.JK	0.73	0.23	0.24	229	0.21	+0.02	0.51	scatter
INDOGB 10YR id10y	−0.50	−0.43	−0.17	205	−0.16	−0.27	−0.07	scatter
USD/IDR usdidr	−0.24	−0.20	−0.11	244	−0.13	−0.07	−0.75	scatter
Brent brent	−0.29	0.02	−0.08	238	−0.02	+0.04 ⇄	−0.08	scatter
DCI Indonesia (DCII.JK) DCII.JK	−0.52	−0.16	0.08	229	−0.06	−0.10	0.11	scatter
DXY dxy	0.15	0.04	0.06	238	−0.04	+0.09 ⇄	0.64	scatter
Bitcoin btc	−0.28	−0.01	−0.06	243	−0.01	0.00	−0.07	scatter
GoTo (GOTO.JK) GOTO.JK	–	–	0.05	229	0.06	–	0.07	scatter
UST 2YR ust2y	−0.20	0.00	0.04	235	0.03	−0.03	0.03	scatter
Copper copper	0.04	0.02	0.04	238	0.00	+0.02 ⇄	0.08	scatter
Gold gold	−0.04	0.00	−0.03	238	0.02	−0.02	−0.05	scatter
Nasdaq 100 ndx	0.45	0.20	−0.02	238	0.04	+0.16	−0.04	scatter
PHLX Semiconductor (SOX) sox	0.33	0.16	−0.01	238	0.04	+0.11	−0.02	scatter
S&P 500 spx	0.45	0.19	0.01	238	0.04	+0.15	0.03	scatter
UST 10YR ust10y	−0.19	0.04	−0.01	235	0.03	0.00	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 Semen Indonesia (SMGR) 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 ↓

Semen Indonesia (SMGR) · LQ45

20 60 120 252

Rolling correlation of daily changes over the last 120 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	−0.02	−0.04	−0.04	0.01	−0.03	0.08	0.02	−0.02	0.03	0.06	0.55	0.00	0.02	−0.03	−0.02	0.03	−0.09	−0.04	0.04	0.09	−0.07

Lag +k: today's change in Semen Indonesia (SMGR) against the change in LQ45 k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.