Brent Crude Correlations

BZUSD Commodity

72.16 0.16 0.22%

The current 90-days correlation between Brent Crude Oil and Corn Futures is 0.13 (i.e., Average diversification). The correlation of Brent Crude 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.

Brent Crude Correlation With Market

Significant diversification

The correlation between Brent Crude Oil and DJI is 0.09 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Brent Crude Oil and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to Brent Crude could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Brent Crude 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 Brent Crude - 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 Brent Crude Oil to buy it.

Moving together with Brent Commodity

0.67	NVDA	NVIDIA	Pair Corr
0.69	GOOG	Alphabet Class C	Pair Corr

Moving against Brent Commodity

0.78	TCTZF	Tencent Holdings	Pair Corr
0.73	CDUAF	Canadian Utilities	Pair Corr
0.72	CBYDF	Corby Spirit	Pair Corr
0.68	BRK-B	Berkshire Hathaway	Pair Corr
0.53	NVRO	Nevro Corp	Pair Corr
0.5	DNCVF	Defiance Silver Corp	Pair Corr
0.46	FWEDF	Fireweed Zinc	Pair Corr
0.42	BMYMP	Bristol Myers Squibb	Pair Corr
0.41	BAOB	Baraboo Bancorporation	Pair Corr
0.82	SNGYX	Sit Government Securities	Pair Corr
0.79	MSPHX	Massmutual Select Total	Pair Corr
0.73	PDINX	Putnam Diversified Income	Pair Corr
0.72	MCTAX	Massmutual Retiresmart	Pair Corr
0.67	TEDPX	Tiaa Cref Emerging	Pair Corr
0.67	TIDDX	T Rowe Price	Pair Corr
0.63	XSWZX	Swiss Helvetia	Pair Corr
0.61	UTDIX	My529 International Value	Pair Corr
0.56	JTOIX	Multimanager Lifestyle	Pair Corr
0.44	GORO	Gold Resource	Pair Corr
0.39	PDSYX	Principal Diversified	Pair Corr
0.33	IGFAX	Vy Morgan Stanley	Pair Corr
0.31	FCFWX	American Funds Retirement	Pair Corr

Related Correlations Analysis

	ZCUSX	LEUSX	CCUSD	OJUSX	ZSUSX	SIUSD	BZUSD
ZCUSX		0.44	0.04	-0.15	0.92	0.38	0.44	ZCUSX
LEUSX	0.44		-0.36	-0.36	0.5	0.59	-0.01	LEUSX
CCUSD	0.04	-0.36		0.92	-0.04	-0.77	0.63	CCUSD
OJUSX	-0.15	-0.36	0.92		-0.17	-0.84	0.61	OJUSX
ZSUSX	0.92	0.5	-0.04	-0.17		0.35	0.45	ZSUSX
SIUSD	0.38	0.59	-0.77	-0.84	0.35		-0.41	SIUSD
BZUSD	0.44	-0.01	0.63	0.61	0.45	-0.41		BZUSD
	ZCUSX	LEUSX	CCUSD	OJUSX	ZSUSX	SIUSD	BZUSD

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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

ZSUSX	+ 0.92	ZCUSX
OJUSX	+ 0.92	CCUSD
BZUSD	+ 0.63	CCUSD
BZUSD	+ 0.61	OJUSX
SIUSD	+ 0.59	LEUSX
ZSUSX	+ 0.5	LEUSX

High negative correlations

SIUSD	- 0.84	OJUSX
SIUSD	- 0.77	CCUSD
BZUSD	- 0.41	SIUSD
OJUSX	- 0.36	LEUSX
CCUSD	- 0.36	LEUSX
ZSUSX	- 0.17	OJUSX

Risk-Adjusted Indicators

There is a big difference between Brent Commodity performing well and Brent Crude 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 Brent Crude'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
ZCUSX	1.00	0.09	0.12	0.95	1.19	(1.01)	2.05	(1.78)	6.00
LEUSX	0.71	0.10	0.18	0.86	0.81	(0.77)	1.45	(1.23)	4.26
CCUSD	2.87	(0.46)	0.00	(1.15)	0.00	0.00	4.83	(7.20)	24.64
OJUSX	2.32	(0.89)	0.00	(0.83)	0.00	0.00	3.06	(5.25)	9.05
ZSUSX	0.98	0.05	0.11	0.73	0.99	(1.22)	1.89	(1.56)	4.98
SIUSD	1.20	0.13	0.14	(0.46)	1.45	(1.24)	2.32	(2.36)	6.39
BZUSD	1.05	(0.01)	0.00	(0.17)	0.00	0.00	2.00	(2.44)	6.65

Brent Crude Related Commodities

One prevalent trading approach among algorithmic traders in the commodities sector involves employing market-neutral strategies, wherein each trade is designed to hedge away specific risks. Given that this approach necessitates two distinct transactions, if one position underperforms unexpectedly, the other can potentially offset some of the losses. This method can be applied to commodities such as Brent Crude, pairing it with other commodities or financial instruments to create a balanced, market-neutral setup.

Corn Futures Live Cattle Futures Cocoa Orange Juice Soybean Futures Silver Futures Brent Crude Oil

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