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.

Bitcoin against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
Ether eth	0.94	0.87	0.91	274	0.77	+0.09	0.65	scatter
S&P 500 spx	0.56	0.33	0.46	251	0.25	+0.08	1.56	scatter
Nasdaq 100 ndx	0.67	0.37	0.43	251	0.25	+0.12	0.95	scatter
PHLX Semiconductor (SOX) sox	0.67	0.28	0.32	251	0.24	+0.04	0.30	scatter
Gold gold	0.31	0.51	0.25	253	0.11	+0.40	0.37	scatter
Copper copper	0.39	0.31	0.23	253	0.10	+0.21	0.37	scatter
DXY dxy	−0.14	−0.33	−0.20	253	−0.05	−0.28	−1.68	scatter
Brent brent	−0.59	−0.20	−0.08	253	−0.05	−0.15	−0.06	scatter
UST 10YR ust10y	−0.21	−0.23	−0.07	249	0.04	−0.27 ⇄	−0.05	scatter
UST 2YR ust2y	0.02	−0.15	−0.07	249	0.06	−0.21 ⇄	−0.04	scatter
INDOGB 10YR id10y	0.07	−0.10	0.06	209	0.02	−0.11 ⇄	0.02	scatter
USD/IDR usdidr	0.10	0.10	−0.05	261	−0.05	+0.14 ⇄	−0.24	scatter
JCI (IHSG) jci	0.06	0.17	0.04	240	0.15	+0.02	0.07	scatter
LQ45 lq45	−0.10	0.20	0.02	240	0.17	+0.02	0.03	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 Bitcoin 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 ↓

Bitcoin · Ether

20 60 120 252

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	0.07	0.01	0.05	−0.07	−0.03	0.09	−0.01	0.08	−0.01	0.04	0.91	0.02	−0.06	0.05	0.03	0.09	−0.12	−0.03	0.03	0.01	0.05

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