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.

US dollar index: asset managers net against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
E-mini S&P 500: asset managers net cftc_es_am	0.02	−0.05	−0.52	52	−0.26	+0.21	−0.05	scatter
Copper: speculators (non-commercial) net cftc_copper_nc	0.22	−0.36	−0.37	52	−0.21	−0.15	−0.13	scatter
Nasdaq 100 ndx	–	−0.64	−0.29	50	−0.27	−0.37	−503.38	scatter
Copper copper	–	−0.42	−0.26	50	−0.26	−0.16	−339.47	scatter
PHLX Semiconductor (SOX) sox	–	−0.61	−0.26	50	−0.23	−0.38	−191.12	scatter
S&P 500 spx	–	−0.60	−0.25	50	−0.22	−0.38	−707.35	scatter
Gold gold	–	−0.80	−0.23	50	−0.22	−0.58	−300.73	scatter
INDOGB 10YR id10y	−0.91	0.34	−0.23	46	−0.25	+0.59 ⇄	−136.00	scatter
USD/IDR usdidr	–	0.39	0.19	49	0.10	+0.29	909.45	scatter
JCI (IHSG) jci	–	−0.33	−0.18	45	−0.18	−0.15	−257.91	scatter
DXY dxy	–	0.11	0.17	50	0.12	−0.01	1,331.21	scatter
E-mini Nasdaq-100: leveraged funds net cftc_nq_lev	0.14	0.22	0.15	52	0.08	+0.14	0.03	scatter
Bitcoin (CME): asset managers net cftc_btc_am	0.91	0.08	−0.14	52	−0.06	+0.14 ⇄	−0.68	scatter
Bitcoin (CME): leveraged funds net cftc_btc_lev	−0.31	0.11	0.14	52	0.06	+0.05	0.29	scatter
UST 10YR ust10y	–	0.32	0.12	49	0.09	+0.23	81.42	scatter
E-mini Nasdaq-100: dealers net cftc_nq_dealer	−0.15	−0.21	−0.09	52	−0.07	−0.14	−0.01	scatter
Bitcoin btc	–	−0.45	−0.09	49	−0.10	−0.34	−89.17	scatter
UST 2YR ust2y	–	0.02	0.09	49	0.02	0.00	48.49	scatter
Brent brent	–	0.24	−0.07	50	−0.09	+0.33 ⇄	−53.48	scatter
LQ45 lq45	–	−0.22	−0.07	45	−0.08	−0.14	−89.27	scatter
E-mini Nasdaq-100: asset managers net cftc_nq_am	0.35	0.51	−0.05	52	−0.01	+0.51 ⇄	−0.02	scatter
Bitcoin (CME): dealers net cftc_btc_dealer	−0.92	0.13	−0.02	52	0.10	+0.03	−0.11	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 US dollar index: asset managers 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 ↓

US dollar index: asset managers net · E-mini S&P 500: asset managers net

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	−0.29	0.10	−0.21	−0.11	0.14	0.52	0.08	0.02	0.14	−0.10	−0.52	−0.17	0.00	0.04	0.11	0.39	0.30	−0.03	−0.24	−0.01	−0.14

Lag +k: today's change in US dollar index: asset managers net against the change in E-mini S&P 500: asset managers net k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.