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.

UMich sentiment against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
LQ45 lq45	–	–	−0.90	3	0.24	–	−8.15	scatter
Nasdaq 100 ndx	–	–	−0.75	5	−0.08	–	−3.22	scatter
JCI (IHSG) jci	–	–	−0.75	3	0.16	–	−4.61	scatter
Brent brent	–	–	0.73	5	0.43	–	0.52	scatter
INDOGB 10YR id10y	–	–	0.71	4	0.21	–	0.29	scatter
UST 2YR ust2y	–	–	0.70	5	−0.22	–	1.08	scatter
PHLX Semiconductor (SOX) sox	–	–	−0.65	5	−0.22	–	−0.90	scatter
S&P 500 spx	–	–	−0.58	5	0.27	–	−5.70	scatter
DXY dxy	–	–	0.57	5	−0.21	–	11.57	scatter
USD/IDR usdidr	–	–	0.54	5	−0.04	–	15.31	scatter
UST 10YR ust10y	–	–	0.51	5	−0.17	–	0.84	scatter
Gold gold	–	–	−0.49	5	0.06	–	−1.22	scatter
Bitcoin btc	–	–	−0.19	6	0.14	–	−0.28	scatter
Copper copper	–	–	0.08	5	0.42	–	0.29	scatter
Newcastle coal coal	–	–	–	0	–	–	–	scatter
United States Business confidence / PMI tvm_US_bcoi	–	–	–	0	–	–	–	scatter
United States Consumer confidence tvm_US_cci	–	–	–	0	–	–	–	scatter
Consumer confidence (IKK) id_ikk	–	–	–	0	–	–	–	scatter
Brazil Business confidence / PMI tvm_BR_bcoi	–	–	–	0	–	–	–	scatter
Brazil Consumer confidence tvm_BR_cci	–	–	–	0	–	–	–	scatter
China Business confidence / PMI tvm_CN_bcoi	–	–	–	0	–	–	–	scatter
China Consumer confidence tvm_CN_cci	–	–	–	0	–	–	–	scatter
India Business confidence / PMI tvm_IN_bcoi	–	–	–	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 UMich sentiment 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 ↓

UMich sentiment · LQ45

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	–	–	–	–	–	–	–	–	–	–	−0.90	–	–	–	–	–	–	–	–	–	–

Lag +k: today's change in UMich sentiment 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.