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 Nasdaq-100: asset managers net against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
E-mini Nasdaq-100: dealers net cftc_nq_dealer	0.84	−0.51	−0.49	52	−0.36	−0.16	−0.19	scatter
E-mini S&P 500: asset managers net cftc_es_am	0.37	0.30	0.35	52	0.41	−0.11	0.08	scatter
Bitcoin (CME): asset managers net cftc_btc_am	0.70	0.25	0.31	52	0.14	+0.11	3.67	scatter
USD/IDR usdidr	–	0.64	0.31	49	0.30	+0.34	3,874.12	scatter
Copper: speculators (non-commercial) net cftc_copper_nc	0.99	0.11	0.29	52	0.21	−0.10	0.26	scatter
Bitcoin (CME): leveraged funds net cftc_btc_lev	−0.95	−0.37	−0.20	52	−0.14	−0.23	−1.03	scatter
Bitcoin btc	–	0.14	0.17	49	0.13	+0.01	427.84	scatter
Bitcoin (CME): dealers net cftc_btc_dealer	−0.12	0.44	0.13	52	0.01	+0.43	1.69	scatter
Gold gold	–	−0.50	−0.12	50	−0.13	−0.37	−398.97	scatter
LQ45 lq45	–	−0.25	0.12	45	0.10	−0.34 ⇄	387.80	scatter
S&P 500 spx	–	−0.48	0.10	50	0.11	−0.59 ⇄	728.75	scatter
UST 2YR ust2y	–	−0.03	0.10	49	0.10	−0.13 ⇄	144.57	scatter
JCI (IHSG) jci	–	−0.15	0.09	45	0.06	−0.21 ⇄	315.79	scatter
UST 10YR ust10y	–	0.10	0.09	49	0.07	+0.03	151.72	scatter
INDOGB 10YR id10y	−0.60	0.18	0.08	46	0.07	+0.11	108.34	scatter
E-mini Nasdaq-100: leveraged funds net cftc_nq_lev	−0.87	0.18	0.07	52	−0.06	+0.24 ⇄	0.03	scatter
Nasdaq 100 ndx	–	−0.49	0.05	50	0.06	−0.54 ⇄	212.16	scatter
PHLX Semiconductor (SOX) sox	–	−0.56	−0.04	50	−0.04	−0.52	−70.47	scatter
DXY dxy	–	−0.24	0.03	50	0.03	−0.27 ⇄	645.14	scatter
E-mini S&P 500: dealers net cftc_es_dealer	0.92	0.12	−0.01	52	−0.07	+0.19 ⇄	0.00	scatter
Brent brent	–	−0.05	0.01	50	0.01	−0.06 ⇄	24.36	scatter
Copper copper	–	−0.21	0.00	50	0.00	−0.21	−2.07	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 Nasdaq-100: 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 ↓

E-mini Nasdaq-100: asset managers net · E-mini Nasdaq-100: dealers 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	−0.01	−0.05	0.28	0.09	−0.05	0.11	0.18	−0.23	0.04	0.15	−0.49	−0.19	0.17	0.01	−0.06	0.09	0.15	−0.32	0.10	0.19	0.13

Lag +k: today's change in E-mini Nasdaq-100: asset managers net against the change in E-mini Nasdaq-100: dealers net k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.