Coffee Correlations

KCUSX Commodity

383.55 6.35 1.68%

The correlation of Coffee 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. If the correlation is 0, the equities are not correlated; they are entirely random.

Coffee Correlation With Market

Significant diversification

The correlation between Coffee 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 Coffee and DJI in the same portfolio, assuming nothing else is changed.

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

Moving together with Coffee Commodity

0.81	META	Meta Platforms Sell-off Trend	Pair Corr
0.69	BRK-A	Berkshire Hathaway	Pair Corr
0.74	ADT	ADT Inc	Pair Corr
0.76	NOK	Nokia Corp ADR Aggressive Push	Pair Corr
0.83	MG	Mistras Group	Pair Corr
0.79	EOLS	Evolus Inc	Pair Corr
0.69	BRK-B	Berkshire Hathaway	Pair Corr
0.81	NHTC	Natural Health Trend	Pair Corr
0.74	BABA	Alibaba Group Holding Aggressive Push	Pair Corr
0.86	MDT	Medtronic PLC	Pair Corr
0.76	RHHBF	Roche Holding AG	Pair Corr
0.76	EPD	Enterprise Products	Pair Corr
0.75	UAE	iShares MSCI UAE	Pair Corr
0.65	GENT	Spinnaker ETF Series	Pair Corr
0.74	STOT	SPDR DoubleLine Short	Pair Corr
0.78	JHMD	John Hancock Multifactor	Pair Corr
0.8	INOV	Innovator ETFs Trust	Pair Corr
0.76	MATH	Metalpha Technology	Pair Corr
0.81	EZU	iShares MSCI Eurozone	Pair Corr
0.62	EWY	iShares MSCI South	Pair Corr
0.76	IQDY	FlexShares International	Pair Corr
0.76	FNDF	Schwab Fundamental	Pair Corr
0.69	SPLV	Invesco SP 500	Pair Corr
0.74	DFE	WisdomTree Europe	Pair Corr
0.87	IBUF	Innovator ETFs Trust	Pair Corr
0.73	SHAG	WisdomTree Yield Enhanced	Pair Corr
0.84	PUSH	PGIM ETF Trust	Pair Corr
0.88	JUCRX	Janus Global Unconst	Pair Corr

Moving against Coffee Commodity

0.65	MSFT	Microsoft	Pair Corr
0.53	NVDA	NVIDIA Aggressive Push	Pair Corr
0.45	AAPL	Apple Inc	Pair Corr
0.36	GOOG	Alphabet Class C Sell-off Trend	Pair Corr

Related Correlations Analysis

	LBUSD	ZCUSX	CCUSD	YMUSD	CLUSD	SILUSD	MGCUSD	PLUSD
LBUSD		0.23	-0.89	-0.29	-0.52	0.78	0.82	0.31	LBUSD
ZCUSX	0.23		-0.08	0.6	0.33	0.51	0.59	0.64	ZCUSX
CCUSD	-0.89	-0.08		0.42	0.58	-0.7	-0.77	-0.31	CCUSD
YMUSD	-0.29	0.6	0.42		0.32	0.0	0.09	0.33	YMUSD
CLUSD	-0.52	0.33	0.58	0.32		-0.37	-0.39	-0.06	CLUSD
SILUSD	0.78	0.51	-0.7	0.0	-0.37		0.9	0.68	SILUSD
MGCUSD	0.82	0.59	-0.77	0.09	-0.39	0.9		0.7	MGCUSD
PLUSD	0.31	0.64	-0.31	0.33	-0.06	0.68	0.7		PLUSD
	LBUSD	ZCUSX	CCUSD	YMUSD	CLUSD	SILUSD	MGCUSD	PLUSD

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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

MGCUSD	+ 0.9	SILUSD
MGCUSD	+ 0.82	LBUSD
SILUSD	+ 0.78	LBUSD
PLUSD	+ 0.7	MGCUSD
PLUSD	+ 0.68	SILUSD
PLUSD	+ 0.64	ZCUSX

High negative correlations

CCUSD	- 0.89	LBUSD
MGCUSD	- 0.77	CCUSD
SILUSD	- 0.7	CCUSD
CLUSD	- 0.52	LBUSD
MGCUSD	- 0.39	CLUSD
SILUSD	- 0.37	CLUSD

Risk-Adjusted Indicators

There is a big difference between Coffee Commodity performing well and Coffee 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 Coffee'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
LBUSD	1.43	0.23	0.22	(1.09)	1.50	(1.61)	3.59	(1.95)	11.20
ZCUSX	1.00	0.04	0.11	0.51	1.23	(1.01)	2.05	(1.78)	6.00
CCUSD	2.98	(0.33)	0.00	(0.98)	0.00	0.00	4.83	(7.20)	24.64
YMUSD	0.66	(0.04)	0.00	(0.20)	0.00	0.00	1.24	(1.55)	3.75
CLUSD	1.18	(0.06)	0.00	(1.04)	0.00	0.00	2.52	(2.50)	6.58
SILUSD	1.16	0.14	0.17	(1.07)	1.40	(1.20)	2.32	(2.36)	6.39
MGCUSD	0.70	0.13	0.29	(0.79)	0.69	(0.78)	1.62	(1.50)	4.36
PLUSD	1.23	0.09	0.14	(0.49)	1.39	(1.28)	2.81	(2.11)	9.03

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

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