Cocoa Correlations

CCUSD Commodity

9,134 102.00 1.10%

The current 90-days correlation between Cocoa and Five Year Treasury Note is -0.03 (i.e., Good diversification). The correlation of Cocoa 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.

Cocoa Correlation With Market

Significant diversification

The correlation between Cocoa and DJI is 0.03 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Cocoa and DJI in the same portfolio, assuming nothing else is changed.

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

Moving together with Cocoa Commodity

0.64	DKNG	DraftKings Sell-off Trend	Pair Corr
0.61	VIRT	Virtu Financial Fiscal Year End 23rd of January 2025	Pair Corr
0.74	MATEF	Blockmate Ventures	Pair Corr

Related Correlations Analysis

	ZFUSD	MGCUSD	DCUSD	PAUSD	LBUSD	RTYUSD	HEUSX	DXUSD	CTUSX	LEUSX
ZFUSD		-0.36	0.83	-0.08	-0.8	-0.71	0.0	-0.94	0.36	-0.62	ZFUSD
MGCUSD	-0.36		-0.07	0.77	0.31	0.3	0.05	0.28	0.37	0.65	MGCUSD
DCUSD	0.83	-0.07		0.07	-0.65	-0.59	-0.16	-0.76	0.52	-0.39	DCUSD
PAUSD	-0.08	0.77	0.07		0.05	0.01	0.01	0.02	0.32	0.34	PAUSD
LBUSD	-0.8	0.31	-0.65	0.05		0.8	0.09	0.85	-0.11	0.43	LBUSD
RTYUSD	-0.71	0.3	-0.59	0.01	0.8		0.02	0.75	0.03	0.46	RTYUSD
HEUSX	0.0	0.05	-0.16	0.01	0.09	0.02		-0.1	0.3	0.14	HEUSX
DXUSD	-0.94	0.28	-0.76	0.02	0.85	0.75	-0.1		-0.34	0.52	DXUSD
CTUSX	0.36	0.37	0.52	0.32	-0.11	0.03	0.3	-0.34		0.26	CTUSX
LEUSX	-0.62	0.65	-0.39	0.34	0.43	0.46	0.14	0.52	0.26		LEUSX
	ZFUSD	MGCUSD	DCUSD	PAUSD	LBUSD	RTYUSD	HEUSX	DXUSD	CTUSX	LEUSX

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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

DXUSD	+ 0.85	LBUSD
DCUSD	+ 0.83	ZFUSD
RTYUSD	+ 0.8	LBUSD
PAUSD	+ 0.77	MGCUSD
DXUSD	+ 0.75	RTYUSD
LEUSX	+ 0.65	MGCUSD

High negative correlations

DXUSD	- 0.94	ZFUSD
LBUSD	- 0.8	ZFUSD
DXUSD	- 0.76	DCUSD
RTYUSD	- 0.71	ZFUSD
LBUSD	- 0.65	DCUSD
LEUSX	- 0.62	ZFUSD

Risk-Adjusted Indicators

There is a big difference between Cocoa Commodity performing well and Cocoa 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 Cocoa'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
ZFUSD	0.16	(0.04)	0.00	0.94	0.00	0.00	0.30	(0.35)	1.13
MGCUSD	0.75	0.07	(0.06)	(0.20)	1.16	(0.72)	1.39	(1.84)	5.19
DCUSD	0.90	(0.18)	0.00	(0.45)	0.00	0.00	0.83	(1.44)	21.45
PAUSD	2.40	0.05	(0.02)	0.41	2.56	(2.72)	4.51	(3.68)	15.36
LBUSD	1.25	0.27	0.13	2.70	0.98	(1.46)	3.42	(1.86)	9.80
RTYUSD	0.93	(0.01)	0.02	0.11	0.95	(1.03)	2.05	(1.72)	7.61
HEUSX	1.03	0.05	(0.04)	(4.79)	1.70	(1.00)	2.09	(2.17)	9.91
DXUSD	0.30	0.07	(0.09)	0.62	0.00	(0.32)	0.52	(0.46)	2.35
CTUSX	0.95	0.01	(0.08)	0.20	1.05	(1.06)	2.05	(1.82)	6.64
LEUSX	0.52	0.05	(0.10)	(0.24)	0.74	(0.58)	1.09	(1.10)	4.40

Cocoa 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 Cocoa, pairing it with other commodities or financial instruments to create a balanced, market-neutral setup.

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