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.

Japanese yen: 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	−0.43	−0.16	0.17	52	0.03	−0.19 ⇄	0.09	scatter
USD/IDR usdidr	–	−0.25	−0.16	49	−0.12	−0.13	−5,013.52	scatter
Bitcoin (CME): dealers net cftc_btc_dealer	0.58	0.05	0.16	52	−0.11	+0.15 ⇄	4.97	scatter
S&P 500 spx	–	0.03	0.16	49	0.15	−0.12	2,814.24	scatter
Bitcoin (CME): leveraged funds net cftc_btc_lev	0.77	0.36	−0.16	52	−0.07	+0.43 ⇄	−1.93	scatter
Bitcoin btc	–	−0.56	−0.14	49	−0.14	−0.43	−849.27	scatter
Nasdaq 100 ndx	–	0.08	0.12	49	0.11	−0.03	1,276.24	scatter
PHLX Semiconductor (SOX) sox	–	0.17	0.10	49	0.10	+0.08	482.89	scatter
Copper copper	–	−0.01	0.09	49	0.10	−0.11 ⇄	735.66	scatter
Bitcoin (CME): asset managers net cftc_btc_am	−0.94	−0.43	0.06	52	0.01	−0.44 ⇄	1.77	scatter
Copper: speculators (non-commercial) net cftc_copper_nc	−0.67	−0.35	−0.06	52	0.01	−0.36 ⇄	−0.13	scatter
DXY dxy	–	−0.26	−0.05	49	0.02	−0.27 ⇄	−2,441.68	scatter
LQ45 lq45	–	−0.08	0.05	45	0.04	−0.12 ⇄	419.41	scatter
UST 10YR ust10y	–	−0.17	−0.05	49	−0.04	−0.13	−210.46	scatter
UST 2YR ust2y	–	−0.11	−0.05	49	−0.04	−0.07	−167.89	scatter
E-mini Nasdaq-100: asset managers net cftc_nq_am	−0.75	−0.41	−0.04	52	−0.15	−0.26	−0.10	scatter
E-mini Nasdaq-100: leveraged funds net cftc_nq_lev	0.39	0.09	0.04	52	0.06	+0.03	0.04	scatter
INDOGB 10YR id10y	0.89	−0.15	0.03	46	0.05	−0.20 ⇄	96.21	scatter
Brent brent	–	−0.05	0.03	49	0.02	−0.07 ⇄	123.64	scatter
JCI (IHSG) jci	–	−0.14	0.03	45	0.02	−0.16 ⇄	237.14	scatter
E-mini Nasdaq-100: dealers net cftc_nq_dealer	−0.40	0.07	−0.02	52	0.00	+0.07 ⇄	−0.02	scatter
Gold gold	–	0.07	−0.01	49	−0.01	+0.08 ⇄	−97.51	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 Japanese yen: 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 ↓

Japanese yen: 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	0.03	−0.03	−0.13	0.03	−0.12	−0.26	−0.02	0.02	−0.14	−0.17	0.17	0.25	−0.05	−0.13	−0.07	−0.20	−0.03	0.19	0.29	−0.18	−0.14

Lag +k: today's change in Japanese yen: 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.