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.

E-mini S&P 500: dealers net against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
Brent brent	–	−0.15	−0.34	49	−0.32	+0.17	−4,981.73	scatter
INDOGB 10YR id10y	−0.79	0.26	−0.33	46	−0.32	+0.58 ⇄	−3,732.48	scatter
Bitcoin (CME): leveraged funds net cftc_btc_lev	−0.93	−0.53	−0.31	52	−0.11	−0.42	−11.99	scatter
PHLX Semiconductor (SOX) sox	–	0.21	0.23	49	0.23	−0.01	3,415.03	scatter
Copper: speculators (non-commercial) net cftc_copper_nc	0.88	0.42	0.23	52	−0.02	+0.44 ⇄	1.55	scatter
E-mini S&P 500: asset managers net cftc_es_am	0.48	−0.15	−0.22	52	−0.13	−0.01	−0.36	scatter
Copper copper	–	0.08	0.22	49	0.21	−0.13	5,585.58	scatter
Bitcoin (CME): asset managers net cftc_btc_am	0.87	0.62	0.21	52	0.03	+0.59	18.37	scatter
Nasdaq 100 ndx	–	0.27	0.17	49	0.17	+0.10	5,844.71	scatter
Bitcoin (CME): dealers net cftc_btc_dealer	−0.35	−0.16	0.17	52	0.04	−0.20 ⇄	16.33	scatter
USD/IDR usdidr	–	−0.15	−0.16	49	−0.13	−0.02	−15,645.76	scatter
E-mini Nasdaq-100: dealers net cftc_nq_dealer	0.67	0.36	0.13	52	0.22	+0.14	0.38	scatter
DXY dxy	–	−0.03	−0.10	49	−0.13	+0.10	−15,624.53	scatter
UST 10YR ust10y	–	−0.03	0.09	49	0.05	−0.07 ⇄	1,207.61	scatter
Gold gold	–	−0.19	0.09	49	0.07	−0.26 ⇄	2,143.10	scatter
E-mini Nasdaq-100: leveraged funds net cftc_nq_lev	−0.67	−0.21	−0.08	52	−0.22	+0.02	−0.30	scatter
UST 2YR ust2y	–	−0.13	0.08	49	0.02	−0.15 ⇄	878.93	scatter
JCI (IHSG) jci	–	0.23	0.08	45	0.08	+0.15	2,232.15	scatter
LQ45 lq45	–	0.37	0.07	45	0.07	+0.30	1,973.73	scatter
S&P 500 spx	–	0.10	0.03	49	0.04	+0.07	1,914.22	scatter
E-mini Nasdaq-100: asset managers net cftc_nq_am	0.92	0.12	−0.01	52	−0.07	+0.19 ⇄	−0.11	scatter
Bitcoin btc	–	−0.07	−0.01	49	0.00	−0.07 ⇄	−105.28	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 E-mini S&P 500: 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 ↓

E-mini S&P 500: dealers net · Brent

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	−0.02	0.02	0.08	−0.06	0.05	−0.15	−0.19	0.31	0.11	0.09	−0.34	0.26	0.18	−0.25	−0.07	0.12	−0.02	0.03	−0.06	−0.03	−0.11

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