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: leveraged funds net against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
Copper: speculators (non-commercial) net cftc_copper_nc	0.47	0.21	−0.30	52	−0.11	+0.31 ⇄	−4.19	scatter
JCI (IHSG) jci	–	−0.56	−0.22	45	−0.25	−0.31	−11,520.05	scatter
Bitcoin (CME): leveraged funds net cftc_btc_lev	−0.41	−0.06	0.22	52	0.03	−0.09 ⇄	17.58	scatter
LQ45 lq45	–	−0.54	−0.22	45	−0.25	−0.29	−10,493.45	scatter
Bitcoin (CME): asset managers net cftc_btc_am	−0.43	−0.39	−0.21	52	−0.02	−0.37	−38.34	scatter
USD/IDR usdidr	–	0.66	0.20	49	0.12	+0.54	38,759.50	scatter
Brent brent	–	0.12	0.14	50	0.10	+0.03	4,265.58	scatter
UST 2YR ust2y	–	−0.09	−0.11	49	−0.19	+0.10	−2,467.43	scatter
INDOGB 10YR id10y	−0.39	−0.32	−0.09	46	−0.10	−0.22	−1,831.51	scatter
S&P 500 spx	–	−0.35	−0.09	50	−0.02	−0.34	−10,115.66	scatter
Copper copper	–	0.39	−0.09	50	−0.14	+0.52 ⇄	−4,392.97	scatter
DXY dxy	–	−0.23	−0.07	50	−0.23	0.00	−20,568.69	scatter
Nasdaq 100 ndx	–	−0.14	−0.07	50	−0.02	−0.12	−4,527.11	scatter
E-mini Nasdaq-100: leveraged funds net cftc_nq_lev	−0.76	−0.30	−0.06	52	−0.08	−0.22	−0.41	scatter
UST 10YR ust10y	–	0.23	0.05	49	0.00	+0.23 ⇄	1,430.36	scatter
Bitcoin (CME): dealers net cftc_btc_dealer	0.88	0.70	−0.05	52	0.03	+0.67	−9.46	scatter
E-mini Nasdaq-100: asset managers net cftc_nq_am	0.34	0.23	−0.04	52	0.03	+0.21	−0.68	scatter
Bitcoin btc	–	−0.30	0.04	49	0.03	−0.32 ⇄	1,491.42	scatter
Gold gold	–	−0.03	−0.02	50	−0.07	+0.04	−1,162.75	scatter
PHLX Semiconductor (SOX) sox	–	0.03	0.02	50	0.06	−0.03	642.89	scatter
E-mini S&P 500: asset managers net cftc_es_am	0.42	0.24	−0.01	52	0.09	+0.15	−0.03	scatter
E-mini Nasdaq-100: dealers net cftc_nq_dealer	0.78	0.09	0.01	52	0.01	+0.08	0.04	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: leveraged funds 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: leveraged funds net · LQ45

20 60 120 252

Not enough common dates for a rolling correlation.

Rolling correlation of daily changes over the last 252 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	−0.19	−0.04	0.24	−0.42	0.10	0.11	0.00	−0.18	0.13	0.12	−0.22	−0.26	0.29	0.34	−0.10	−0.13	−0.07	0.27	−0.21	0.17	0.02

Lag +k: today's change in UST 5YR futures: leveraged funds net against the change in LQ45 k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.