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 2YR futures: dealers net against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
E-mini S&P 500: asset managers net cftc_es_am	0.17	0.18	0.45	52	0.22	−0.03	0.87	scatter
Copper: speculators (non-commercial) net cftc_copper_nc	0.74	0.27	0.35	52	0.16	+0.11	2.72	scatter
S&P 500 spx	–	0.07	0.31	49	0.27	−0.20	19,381.60	scatter
Nasdaq 100 ndx	–	0.12	0.30	49	0.28	−0.16	11,753.21	scatter
E-mini Nasdaq-100: asset managers net cftc_nq_am	0.83	0.63	0.29	52	0.13	+0.50	2.55	scatter
Bitcoin (CME): leveraged funds net cftc_btc_lev	−0.74	−0.28	−0.28	52	−0.16	−0.12	−12.48	scatter
PHLX Semiconductor (SOX) sox	–	0.09	0.23	49	0.21	−0.12	3,850.78	scatter
JCI (IHSG) jci	–	0.09	−0.20	45	−0.13	+0.22 ⇄	−6,070.26	scatter
Copper copper	–	0.10	0.19	49	0.22	−0.13	5,480.38	scatter
Bitcoin (CME): dealers net cftc_btc_dealer	−0.64	0.23	0.17	52	0.02	+0.21	19.25	scatter
LQ45 lq45	–	0.20	−0.16	45	−0.11	+0.32 ⇄	−4,733.21	scatter
Bitcoin (CME): asset managers net cftc_btc_am	0.98	0.19	0.15	52	0.11	+0.08	15.46	scatter
Gold gold	–	0.04	−0.14	49	−0.12	+0.16 ⇄	−4,036.81	scatter
INDOGB 10YR id10y	−0.66	−0.25	−0.14	46	−0.13	−0.12	−1,759.20	scatter
USD/IDR usdidr	–	0.12	−0.13	49	−0.07	+0.20 ⇄	−13,783.29	scatter
UST 10YR ust10y	–	−0.31	−0.10	49	−0.10	−0.21	−1,445.14	scatter
E-mini Nasdaq-100: leveraged funds net cftc_nq_lev	−0.44	−0.07	−0.09	52	−0.16	+0.08	−0.38	scatter
Brent brent	–	−0.19	0.07	49	0.08	−0.27 ⇄	1,233.79	scatter
DXY dxy	–	−0.14	0.07	49	0.12	−0.25 ⇄	12,074.34	scatter
E-mini Nasdaq-100: dealers net cftc_nq_dealer	0.41	−0.20	−0.05	52	0.07	−0.27 ⇄	−0.16	scatter
Bitcoin btc	–	0.37	−0.03	49	−0.01	+0.38 ⇄	−637.74	scatter
UST 2YR ust2y	–	−0.33	−0.01	49	−0.01	−0.33	−129.52	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 2YR 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 2YR futures: dealers 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	0.00	0.11	0.08	−0.17	−0.20	−0.12	0.15	0.07	0.09	0.45	−0.02	−0.30	−0.09	−0.07	−0.01	0.12	0.00	0.11	−0.31	0.01

Lag +k: today's change in UST 2YR futures: dealers 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.