Crude Oil Correlations

CLUSD Commodity

67.20 0.30 0.45%

The current 90-days correlation between Crude Oil and Cotton is 0.14 (i.e., Average diversification). The correlation of Crude Oil 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.

Crude Oil Correlation With Market

Significant diversification

The correlation between Crude Oil and DJI is 0.05 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Crude Oil and DJI in the same portfolio, assuming nothing else is changed.

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

Moving together with Crude Commodity

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

Moving against Crude Commodity

0.81	LFAK	Stone Ridge 2052	Pair Corr
0.73	VRTX	Vertex Pharmaceuticals	Pair Corr
0.73	SGBAF	SES SA	Pair Corr
0.72	INFN	Infinera	Pair Corr
0.72	NYMT	New York Mortgage	Pair Corr
0.71	UZD	United States Cellular	Pair Corr
0.71	DTEGF	Deutsche Telekom	Pair Corr
0.69	BRK-A	Berkshire Hathaway	Pair Corr
0.68	VTR	Ventas Inc	Pair Corr
0.63	DPMLF	Dundee Precious Metals	Pair Corr
0.63	STPZ	PIMCO 1 5	Pair Corr
0.55	ALTM	Arcadium Lithium plc	Pair Corr
0.49	SPYD	SPDR Portfolio SP	Pair Corr
0.47	DE	Deere Company	Pair Corr
0.46	SPDN	Direxion Daily SP	Pair Corr
0.44	LIXTW	Lixte Biotechnology	Pair Corr
0.37	BMYMP	Bristol Myers Squibb	Pair Corr
0.85	SPTL	SPDR Barclays Long	Pair Corr
0.84	IEF	iShares 7 10	Pair Corr
0.83	FFBBX	American Funds Corporate	Pair Corr
0.82	DFJ	WisdomTree Japan SmallCap	Pair Corr
0.79	KSTR	KraneShares SSE STAR	Pair Corr
0.76	GSAGX	Goldman Sachs Asia	Pair Corr
0.76	RMAHX	American Funds Mortgage	Pair Corr
0.75	GSJY	Goldman Sachs ActiveBeta	Pair Corr
0.75	PYELX	Payden Emerging Markets	Pair Corr
0.71	AVDS	American Century ETF	Pair Corr
0.71	TENWX	Tiaa Cref Emerging	Pair Corr
0.71	PUCPX	Pimco Unconstrained Bond	Pair Corr

Related Correlations Analysis

	CTUSX	ZCUSX	KEUSX	OJUSX	ZTUSD	CLUSD	KCUSX	DCUSD
CTUSX		-0.21	-0.17	0.54	-0.64	0.31	-0.59	0.31	CTUSX
ZCUSX	-0.21		0.72	-0.22	-0.2	0.35	0.56	0.58	ZCUSX
KEUSX	-0.17	0.72		-0.58	0.07	-0.2	0.77	0.19	KEUSX
OJUSX	0.54	-0.22	-0.58		-0.74	0.6	-0.73	0.38	OJUSX
ZTUSD	-0.64	-0.2	0.07	-0.74		-0.71	0.41	-0.67	ZTUSD
CLUSD	0.31	0.35	-0.2	0.6	-0.71		-0.44	0.73	CLUSD
KCUSX	-0.59	0.56	0.77	-0.73	0.41	-0.44		-0.12	KCUSX
DCUSD	0.31	0.58	0.19	0.38	-0.67	0.73	-0.12		DCUSD
	CTUSX	ZCUSX	KEUSX	OJUSX	ZTUSD	CLUSD	KCUSX	DCUSD

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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

KCUSX	+ 0.77	KEUSX
DCUSD	+ 0.73	CLUSD
KEUSX	+ 0.72	ZCUSX
CLUSD	+ 0.6	OJUSX
DCUSD	+ 0.58	ZCUSX
KCUSX	+ 0.56	ZCUSX

High negative correlations

ZTUSD	- 0.74	OJUSX
KCUSX	- 0.73	OJUSX
CLUSD	- 0.71	ZTUSD
DCUSD	- 0.67	ZTUSD
ZTUSD	- 0.64	CTUSX
KCUSX	- 0.59	CTUSX

Risk-Adjusted Indicators

There is a big difference between Crude Commodity performing well and Crude Oil 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 Crude Oil'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
CTUSX	0.79	(0.06)	0.00	(0.63)	0.00	0.00	1.51	(1.76)	6.01
ZCUSX	0.99	0.06	0.11	0.77	1.18	(1.00)	2.05	(1.78)	6.00
KEUSX	1.24	0.12	0.15	0.36	1.19	(1.52)	3.33	(2.03)	8.17
OJUSX	2.20	(1.01)	0.00	(1.17)	0.00	0.00	3.06	(5.25)	9.62
ZTUSD	0.07	0.00	0.94	0.13	0.02	(0.07)	0.16	(0.14)	0.40
CLUSD	1.17	(0.08)	0.00	(0.95)	0.00	0.00	2.52	(2.50)	6.58
KCUSX	1.68	0.29	0.17	6.18	2.08	(1.87)	3.76	(3.97)	11.71
DCUSD	0.87	0.00	0.00	(0.13)	0.00	0.00	1.54	(2.27)	15.17

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

Cotton Corn Futures Wheat Futures Orange Juice 2 Year T Note Futures Crude Oil Coffee Class III Milk

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