Wheat Futures Correlations

KEUSX Commodity

605.50 4.00 0.66%

The current 90-days correlation between Wheat Futures and Lean Hogs Futures is 0.02 (i.e., Significant diversification). The correlation of Wheat Futures 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.

Wheat Futures Correlation With Market

Significant diversification

The correlation between Wheat Futures and DJI is 0.06 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Wheat Futures and DJI in the same portfolio, assuming nothing else is changed.

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

Moving together with Wheat Commodity

0.67	META	Meta Platforms	Pair Corr
0.7	WPM	Wheaton Precious Metals	Pair Corr
0.67	KO	Coca Cola Aggressive Push	Pair Corr
0.66	COST	Costco Wholesale Corp	Pair Corr
0.77	T	ATT Inc Aggressive Push	Pair Corr
0.61	RXI	iShares Global Consumer	Pair Corr

Moving against Wheat Commodity

0.78	U4R90AAB4	HLF 4875 01	Pair Corr
0.6	MSFT	Microsoft	Pair Corr

Related Correlations Analysis

	HEUSX	NGUSD	MGCUSD	SILUSD	CLUSD	RBUSD	ZBUSD	YMUSD
HEUSX		0.17	0.69	0.54	-0.33	0.17	0.25	0.45	HEUSX
NGUSD	0.17		0.23	0.0	0.5	0.41	-0.55	-0.41	NGUSD
MGCUSD	0.69	0.23		0.75	0.02	0.52	0.06	0.45	MGCUSD
SILUSD	0.54	0.0	0.75		-0.08	0.42	0.29	0.62	SILUSD
CLUSD	-0.33	0.5	0.02	-0.08		0.76	-0.77	-0.42	CLUSD
RBUSD	0.17	0.41	0.52	0.42	0.76		-0.59	-0.01	RBUSD
ZBUSD	0.25	-0.55	0.06	0.29	-0.77	-0.59		0.59	ZBUSD
YMUSD	0.45	-0.41	0.45	0.62	-0.42	-0.01	0.59		YMUSD
	HEUSX	NGUSD	MGCUSD	SILUSD	CLUSD	RBUSD	ZBUSD	YMUSD

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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

RBUSD	+ 0.76	CLUSD
SILUSD	+ 0.75	MGCUSD
MGCUSD	+ 0.69	HEUSX
YMUSD	+ 0.62	SILUSD
YMUSD	+ 0.59	ZBUSD
SILUSD	+ 0.54	HEUSX

High negative correlations

ZBUSD	- 0.77	CLUSD
ZBUSD	- 0.59	RBUSD
ZBUSD	- 0.55	NGUSD
YMUSD	- 0.42	CLUSD
YMUSD	- 0.41	NGUSD
CLUSD	- 0.33	HEUSX

Risk-Adjusted Indicators

There is a big difference between Wheat Commodity performing well and Wheat Futures 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 Wheat Futures' 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
HEUSX	0.89	0.08	0.06	0.56	1.12	(0.98)	1.85	(1.80)	7.78
NGUSD	4.06	0.53	0.10	(6.35)	4.75	(4.47)	7.92	(8.19)	25.21
MGCUSD	0.69	0.16	0.17	1.52	0.65	(0.76)	1.42	(1.46)	4.24
SILUSD	1.21	0.08	0.04	(1.59)	1.68	(1.16)	2.26	(2.50)	7.56
CLUSD	1.16	0.01	0.00	(0.11)	1.37	(1.18)	2.70	(2.14)	6.58
RBUSD	1.10	0.03	0.02	(0.51)	1.14	(1.45)	2.11	(1.99)	5.78
ZBUSD	0.46	(0.02)	0.00	(0.35)	0.00	0.00	1.11	(0.86)	2.65
YMUSD	0.52	(0.05)	0.00	(0.29)	0.00	0.00	0.89	(0.99)	3.44

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

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