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.

Gold against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
Silver silver	0.86	0.83	0.82	254	0.77	+0.06	0.36	scatter
Copper copper	0.42	0.42	0.56	254	0.40	+0.02	0.59	scatter
DXY dxy	−0.32	−0.51	−0.38	254	−0.34	−0.16	−2.11	scatter
S&P 500 spx	0.30	0.37	0.30	252	0.12	+0.25	0.67	scatter
Nasdaq 100 ndx	0.22	0.32	0.27	252	0.13	+0.18	0.40	scatter
PHLX Semiconductor (SOX) sox	0.22	0.28	0.26	252	0.16	+0.13	0.17	scatter
Bitcoin btc	0.31	0.50	0.25	253	0.11	+0.39	0.17	scatter
UST 2YR ust2y	−0.44	−0.37	−0.22	249	−0.14	−0.23	−0.09	scatter
Brent brent	−0.21	−0.11	−0.17	254	−0.04	−0.08	−0.09	scatter
UST 10YR ust10y	−0.43	−0.31	−0.15	249	−0.07	−0.24	−0.07	scatter
JCI (IHSG) jci	−0.04	0.13	0.14	234	0.11	+0.02	0.14	scatter
INDOGB 10YR id10y	−0.29	−0.20	−0.12	201	−0.14	−0.06	−0.03	scatter
LQ45 lq45	−0.07	0.10	0.08	234	0.06	+0.04	0.07	scatter
USD/IDR usdidr	−0.43	−0.20	0.00	253	−0.09	−0.11	0.00	scatter
Newcastle coal coal	–	–	–	0	–	–	–	scatter
Nickel (LME) nickel	–	–	–	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 Gold 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 ↓

Gold · Bitcoin

20 60 120 252

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	0.06	0.04	−0.08	−0.03	−0.11	0.00	−0.07	−0.02	−0.02	0.02	0.25	−0.06	−0.01	0.11	0.04	−0.12	0.00	0.01	0.02	−0.02	−0.02

Lag +k: today's change in Gold against the change in Bitcoin k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.