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.

UST bond futures: dealers net against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
UST 10YR ust10y	–	−0.11	0.27	49	0.20	−0.31 ⇄	1,838.75	scatter
Gold gold	–	0.54	0.20	50	0.21	+0.33	2,547.21	scatter
Copper copper	–	0.69	0.20	50	0.20	+0.50	2,511.40	scatter
USD/IDR usdidr	–	−0.31	0.19	49	0.14	−0.45 ⇄	9,294.96	scatter
UST 2YR ust2y	–	−0.04	0.17	49	0.12	−0.16 ⇄	945.24	scatter
E-mini Nasdaq-100: leveraged funds net cftc_nq_lev	0.71	−0.38	−0.17	52	−0.03	−0.35	−0.30	scatter
DXY dxy	–	0.04	0.14	50	0.10	−0.06	10,937.36	scatter
E-mini Nasdaq-100: dealers net cftc_nq_dealer	−0.77	0.49	0.12	52	0.06	+0.43	0.19	scatter
PHLX Semiconductor (SOX) sox	–	0.81	0.11	50	0.07	+0.74	799.15	scatter
Bitcoin (CME): leveraged funds net cftc_btc_lev	0.90	0.02	−0.11	52	−0.02	+0.04 ⇄	−2.08	scatter
Brent brent	–	−0.01	0.09	50	0.13	−0.14 ⇄	692.44	scatter
E-mini S&P 500: asset managers net cftc_es_am	−0.91	−0.65	−0.08	52	−0.05	−0.60	−0.07	scatter
JCI (IHSG) jci	–	0.31	−0.08	45	−0.02	+0.33 ⇄	−1,104.54	scatter
Bitcoin (CME): dealers net cftc_btc_dealer	−0.15	0.16	0.08	52	−0.02	+0.18 ⇄	3.89	scatter
LQ45 lq45	–	0.50	−0.07	45	−0.01	+0.52 ⇄	−852.09	scatter
Nasdaq 100 ndx	–	0.68	0.06	50	0.02	+0.67	1,048.55	scatter
INDOGB 10YR id10y	0.99	0.19	−0.06	46	−0.08	+0.27 ⇄	−339.59	scatter
S&P 500 spx	–	0.53	−0.05	50	−0.10	+0.63 ⇄	−1,426.65	scatter
Bitcoin (CME): asset managers net cftc_btc_am	−0.45	−0.20	0.04	52	−0.06	−0.13	1.65	scatter
E-mini Nasdaq-100: asset managers net cftc_nq_am	−0.71	−0.29	0.02	52	−0.09	−0.21	0.09	scatter
Copper: speculators (non-commercial) net cftc_copper_nc	−0.72	0.01	−0.02	52	0.02	−0.01	−0.07	scatter
Bitcoin btc	–	−0.03	−0.02	49	−0.02	−0.01	−184.84	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 UST bond futures: dealers 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 ↓

UST bond futures: dealers net · UST 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	−0.07	0.15	0.18	−0.06	−0.09	−0.12	−0.11	−0.29	0.16	0.17	0.27	0.11	0.01	−0.24	−0.30	−0.15	−0.10	0.15	0.12	0.42	−0.02

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