US Dollar Correlations
| DXUSD Commodity | 102.91 0.12 0.12% |
The current 90-days correlation between US Dollar and 30 Year Treasury is -0.16 (i.e., Good diversification). The correlation of US Dollar 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.
US Dollar Correlation With Market
Significant diversification
The correlation between US Dollar and DJI is 0.01 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding US Dollar and DJI in the same portfolio, assuming nothing else is changed.
DXUSD |
The ability to find closely correlated positions to US Dollar could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace US Dollar 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 US Dollar - 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 US Dollar to buy it.
Moving together with DXUSD Commodity
Moving against DXUSD Commodity
| 0.78 | LFAK | Stone Ridge 2052 | PairCorr |
| 0.76 | VRTX | Vertex Pharmaceuticals | PairCorr |
| 0.74 | BRK-A | Berkshire Hathaway | PairCorr |
| 0.73 | STPZ | PIMCO 1 5 | PairCorr |
| 0.72 | VTR | Ventas Inc | PairCorr |
| 0.72 | DPMLF | Dundee Precious Metals | PairCorr |
| 0.72 | DTEGF | Deutsche Telekom | PairCorr |
| 0.7 | SGBAF | SES SA | PairCorr |
| 0.7 | NYMT | New York Mortgage | PairCorr |
| 0.64 | INFN | Infinera | PairCorr |
| 0.64 | UZD | United States Cellular | PairCorr |
| 0.58 | ALTM | Arcadium Lithium plc | PairCorr |
| 0.56 | SPDN | Direxion Daily SP | PairCorr |
| 0.52 | DE | Deere Company | PairCorr |
| 0.43 | BMYMP | Bristol Myers Squibb | PairCorr |
| 0.41 | SPYD | SPDR Portfolio SP | PairCorr |
| 0.34 | LIXTW | Lixte Biotechnology | PairCorr |
| 0.8 | IEF | iShares 7 10 | PairCorr |
| 0.8 | RMAHX | American Funds Mortgage | PairCorr |
| 0.79 | PYELX | Payden Emerging Markets | PairCorr |
| 0.77 | GSAGX | Goldman Sachs Asia | PairCorr |
| 0.77 | PUCPX | Pimco Unconstrained Bond | PairCorr |
| 0.76 | KSTR | KraneShares SSE STAR | PairCorr |
| 0.76 | RFBSX | Short Duration Bond | PairCorr |
| 0.75 | FFBBX | American Funds Corporate | PairCorr |
| 0.74 | UMNIX | Lazard Short Duration | PairCorr |
| 0.73 | DFSD | Dimensional ETF Trust | PairCorr |
| 0.7 | BRZKX | Blackrock Advantage Esg | PairCorr |
| 0.69 | SPTL | SPDR Barclays Long | PairCorr |
Related Correlations Analysis
| -0.6 | -0.78 | -0.8 | 0.76 | 0.11 | ZBUSD | ||
| -0.6 | 0.91 | 0.88 | -0.53 | -0.07 | HOUSD | ||
| -0.78 | 0.91 | 0.99 | -0.66 | -0.08 | BZUSD | ||
| -0.8 | 0.88 | 0.99 | -0.67 | -0.08 | CLUSD | ||
| 0.76 | -0.53 | -0.66 | -0.67 | 0.22 | LBUSD | ||
| 0.11 | -0.07 | -0.08 | -0.08 | 0.22 | LEUSX | ||
| Click cells to compare fundamentals | Check Volatility | Backtest Portfolio |
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
| High negative correlations
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Risk-Adjusted Indicators
There is a big difference between DXUSD Commodity performing well and US Dollar 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 US Dollar'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| ZBUSD | 0.47 | 0.03 | 0.24 | (0.98) | 0.45 | 1.13 | 2.65 | |||
| HOUSD | 1.18 | (0.02) | 0.00 | (0.25) | 0.00 | 2.50 | 8.17 | |||
| BZUSD | 1.06 | (0.03) | 0.00 | (0.34) | 0.00 | 2.00 | 6.65 | |||
| CLUSD | 1.19 | (0.06) | 0.00 | (0.79) | 0.00 | 2.52 | 6.58 | |||
| LBUSD | 1.36 | 0.24 | 0.22 | (1.70) | 1.45 | 3.59 | 11.20 | |||
| LEUSX | 0.68 | 0.16 | 0.27 | 1.81 | 0.74 | 1.45 | 4.26 |
US Dollar 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 US Dollar, pairing it with other commodities or financial instruments to create a balanced, market-neutral setup.
| Risk & Return | Correlation |