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 5YR futures: dealers net against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
UST 2YR ust2y	–	0.44	0.33	49	0.43	0.00	4,661.26	scatter
USD/IDR usdidr	–	−0.81	−0.28	49	−0.23	−0.57	−33,448.20	scatter
Bitcoin (CME): asset managers net cftc_btc_am	0.28	0.31	0.21	52	0.08	+0.23	23.00	scatter
DXY dxy	–	0.54	0.20	50	0.32	+0.22	38,049.60	scatter
UST 10YR ust10y	–	0.39	0.17	49	0.26	+0.13	2,899.62	scatter
Gold gold	–	−0.13	−0.15	50	−0.07	−0.06	−4,828.28	scatter
Copper: speculators (non-commercial) net cftc_copper_nc	−0.58	−0.24	0.12	52	0.08	−0.32 ⇄	1.00	scatter
Bitcoin (CME): leveraged funds net cftc_btc_lev	0.58	0.13	−0.12	52	−0.12	+0.25 ⇄	−5.64	scatter
E-mini Nasdaq-100: asset managers net cftc_nq_am	−0.46	−0.46	−0.11	52	−0.01	−0.45	−1.00	scatter
LQ45 lq45	–	0.53	0.09	45	0.12	+0.41	2,900.96	scatter
INDOGB 10YR id10y	0.84	0.44	−0.09	46	−0.05	+0.49 ⇄	−1,078.46	scatter
JCI (IHSG) jci	–	0.52	0.09	45	0.10	+0.42	3,012.44	scatter
Brent brent	–	0.68	0.09	50	0.11	+0.57	1,595.17	scatter
S&P 500 spx	–	−0.15	−0.08	50	−0.12	−0.03	−5,427.80	scatter
Bitcoin btc	–	−0.09	0.07	49	0.09	−0.18 ⇄	1,761.92	scatter
E-mini S&P 500: asset managers net cftc_es_am	−0.61	−0.53	−0.07	52	−0.01	−0.52	−0.15	scatter
E-mini Nasdaq-100: dealers net cftc_nq_dealer	−0.87	0.10	0.07	52	0.03	+0.07	0.26	scatter
PHLX Semiconductor (SOX) sox	–	−0.01	−0.07	50	−0.09	+0.08	−1,193.79	scatter
Nasdaq 100 ndx	–	−0.13	−0.05	50	−0.08	−0.05	−2,117.38	scatter
E-mini Nasdaq-100: leveraged funds net cftc_nq_lev	0.84	0.15	0.05	52	0.00	+0.15 ⇄	0.21	scatter
Copper copper	–	−0.29	−0.03	50	0.02	−0.31 ⇄	−985.19	scatter
Bitcoin (CME): dealers net cftc_btc_dealer	−0.82	−0.48	−0.01	52	0.10	−0.58 ⇄	−1.56	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 5YR 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 5YR futures: dealers net · UST 2YR

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	0.15	0.25	−0.23	0.20	−0.15	−0.06	−0.18	0.07	−0.13	0.33	0.07	0.21	−0.01	0.06	−0.22	−0.15	0.11	−0.08	0.33	0.15

Lag +k: today's change in UST 5YR futures: dealers net against the change in UST 2YR k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.