E Mini Correlations

ESUSD Commodity

5,800 50.50 0.88%

The current 90-days correlation between E Mini SP and 10 Year T Note Futures is -0.24 (i.e., Very good diversification). The correlation of E Mini is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

E Mini Correlation With Market

Average diversification

The correlation between E Mini SP 500 and DJI is 0.17 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding E Mini SP 500 and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to E Mini could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace E Mini when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back E Mini - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling E Mini SP 500 to buy it.

Moving together with ESUSD Commodity

0.75	AAPL	Apple Inc Fiscal Year End 7th of November 2024	Pair Corr
0.66	NVDA	NVIDIA	Pair Corr
0.68	AMZN	Amazon Inc	Pair Corr
0.7	META	Meta Platforms	Pair Corr
0.64	SGBLY	Standard Bank Group	Pair Corr
0.63	NIO	Nio Class A	Pair Corr
0.69	DD	Dupont De Nemours Fiscal Year End 4th of February 2025	Pair Corr
0.66	GE	GE Aerospace Fiscal Year End 28th of January 2025	Pair Corr
0.73	CAT	Caterpillar Fiscal Year End 3rd of February 2025	Pair Corr
0.64	VZ	Verizon Communications Fiscal Year End 28th of January 2025	Pair Corr
0.73	CSCO	Cisco Systems	Pair Corr

Related Correlations Analysis

	ZNUSD	NQUSD	ZOUSX	KEUSX	GFUSX	SILUSD	ZQUSD	YMUSD	RBUSD	ZRUSD
ZNUSD		-0.3	0.63	0.27	-0.81	0.1	0.48	0.48	-0.88	0.35	ZNUSD
NQUSD	-0.3		0.14	0.24	0.41	0.82	0.15	0.45	0.1	-0.08	NQUSD
ZOUSX	0.63	0.14		0.7	-0.35	0.54	0.77	0.76	-0.71	0.32	ZOUSX
KEUSX	0.27	0.24	0.7		-0.08	0.53	0.69	0.38	-0.4	0.34	KEUSX
GFUSX	-0.81	0.41	-0.35	-0.08		0.17	-0.28	-0.24	0.8	-0.14	GFUSX
SILUSD	0.1	0.82	0.54	0.53	0.17		0.45	0.67	-0.22	0.16	SILUSD
ZQUSD	0.48	0.15	0.77	0.69	-0.28	0.45		0.64	-0.57	0.28	ZQUSD
YMUSD	0.48	0.45	0.76	0.38	-0.24	0.67	0.64		-0.67	0.18	YMUSD
RBUSD	-0.88	0.1	-0.71	-0.4	0.8	-0.22	-0.57	-0.67		-0.31	RBUSD
ZRUSD	0.35	-0.08	0.32	0.34	-0.14	0.16	0.28	0.18	-0.31		ZRUSD
	ZNUSD	NQUSD	ZOUSX	KEUSX	GFUSX	SILUSD	ZQUSD	YMUSD	RBUSD	ZRUSD

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

SILUSD	+ 0.82	NQUSD
RBUSD	+ 0.8	GFUSX
ZQUSD	+ 0.77	ZOUSX
YMUSD	+ 0.76	ZOUSX
KEUSX	+ 0.7	ZOUSX
ZQUSD	+ 0.69	KEUSX

High negative correlations

RBUSD	- 0.88	ZNUSD
GFUSX	- 0.81	ZNUSD
RBUSD	- 0.71	ZOUSX
RBUSD	- 0.67	YMUSD
RBUSD	- 0.57	ZQUSD
RBUSD	- 0.4	KEUSX

Risk-Adjusted Indicators

There is a big difference between ESUSD Commodity performing well and E Mini Commodity doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze E Mini's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
ZNUSD	0.26	0.02	(0.25)	(4.25)	0.26	(0.29)	0.48	(0.52)	1.97
NQUSD	1.07	(0.06)	0.00	(0.09)	0.00	0.00	2.49	(2.92)	6.37
ZOUSX	1.51	0.31	0.10	23.94	1.70	(1.59)	3.04	(2.42)	10.82
KEUSX	1.27	(0.01)	(0.06)	(0.02)	1.61	(1.36)	2.91	(2.85)	6.48
GFUSX	0.64	(0.14)	0.00	(0.19)	0.00	0.00	1.14	(1.59)	3.42
SILUSD	1.51	(0.01)	(0.03)	0.09	1.86	(1.57)	3.19	(3.16)	7.11
ZQUSD	0.03	0.00	(0.57)	(0.09)	0.00	(0.11)	0.02	(0.01)	1.07
YMUSD	0.62	0.06	0.00	0.29	0.73	(0.65)	1.41	(1.36)	4.41
RBUSD	1.53	(0.30)	0.00	11.39	0.00	0.00	2.09	(2.87)	9.88
ZRUSD	1.09	(0.15)	0.00	0.93	0.00	0.00	1.94	(1.98)	12.64

View E Mini Related Equities

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