Micro E Correlations

RTYUSD Commodity

2,089 14.90 0.72%

The current 90-days correlation between Micro E mini and Class III Milk is -0.13 (i.e., Good diversification). The correlation of Micro E 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.

Micro E Correlation With Market

Very weak diversification

The correlation between Micro E mini Russell and DJI is 0.45 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Micro E mini Russell and DJI in the same portfolio, assuming nothing else is changed.

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

Moving together with Micro Commodity

0.8	MSFT	Microsoft Aggressive Push	Pair Corr
0.7	NVDA	NVIDIA Aggressive Push	Pair Corr
0.93	AMZN	Amazon Inc Aggressive Push	Pair Corr
0.89	GOOG	Alphabet Class C Aggressive Push	Pair Corr

Moving against Micro Commodity

0.86	DNSKF	Danske Bank AS Normal Trading	Pair Corr
0.77	BRK-A	Berkshire Hathaway	Pair Corr
0.55	TKOMF	Tokio Marine Holdings	Pair Corr
0.52	BMYMP	Bristol Myers Squibb	Pair Corr
0.51	GTN	Gray Television	Pair Corr
0.5	WM	Waste Management	Pair Corr
0.47	RGC	Regencell Bioscience Trending	Pair Corr
0.45	MENEF	Mene Inc	Pair Corr
0.44	SKFOF	Sika AG	Pair Corr
0.39	AIMDW	Ainos Inc	Pair Corr
0.93	TAIL	Cambria Tail Risk	Pair Corr
0.76	SPIB	SPDR Barclays Interm Sell-off Trend	Pair Corr
0.74	ABNOX	Ab Bond Inflation	Pair Corr
0.72	VICSX	Vanguard Intermediate-ter	Pair Corr
0.7	JMST	JPMorgan Ultra Short	Pair Corr
0.66	GHMS	Goose Hollow Multi	Pair Corr
0.65	ACWV	iShares MSCI Global	Pair Corr
0.64	LIAE	Stone Ridge 2050	Pair Corr
0.64	GIOIX	Guggenheim Macro Opp	Pair Corr
0.57	UTF	Cohen And Steers	Pair Corr
0.55	GDXU	MicroSectors Gold Miners	Pair Corr
0.54	EEMX	SPDR MSCI Emerging	Pair Corr
0.52	BBEM	JP Morgan Exchange	Pair Corr
0.49	HTD	John Hancock Tax	Pair Corr
0.49	SGDLX	Sprott Gold Equity	Pair Corr
0.43	GOODN	Gladstone Commercial Corp	Pair Corr
0.4	DBIWX	Dws Global Macro	Pair Corr
0.37	WVVI	Willamette Valley Potential Growth	Pair Corr

Related Correlations Analysis

	DCUSD	LEUSX	MGCUSD	ZFUSD	ZCUSX	SIUSD	OJUSX
DCUSD		0.13	-0.46	-0.74	0.51	-0.45	0.58	DCUSD
LEUSX	0.13		0.34	0.07	0.53	0.41	-0.09	LEUSX
MGCUSD	-0.46	0.34		0.76	0.29	0.95	-0.92	MGCUSD
ZFUSD	-0.74	0.07	0.76		-0.23	0.66	-0.84	ZFUSD
ZCUSX	0.51	0.53	0.29	-0.23		0.3	-0.05	ZCUSX
SIUSD	-0.45	0.41	0.95	0.66	0.3		-0.84	SIUSD
OJUSX	0.58	-0.09	-0.92	-0.84	-0.05	-0.84		OJUSX
	DCUSD	LEUSX	MGCUSD	ZFUSD	ZCUSX	SIUSD	OJUSX

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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

SIUSD	+ 0.95	MGCUSD
ZFUSD	+ 0.76	MGCUSD
SIUSD	+ 0.66	ZFUSD
OJUSX	+ 0.58	DCUSD
ZCUSX	+ 0.53	LEUSX
ZCUSX	+ 0.51	DCUSD

High negative correlations

OJUSX	- 0.92	MGCUSD
OJUSX	- 0.84	SIUSD
OJUSX	- 0.84	ZFUSD
ZFUSD	- 0.74	DCUSD
MGCUSD	- 0.46	DCUSD
SIUSD	- 0.45	DCUSD

Risk-Adjusted Indicators

There is a big difference between Micro Commodity performing well and Micro E 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 Micro E'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
DCUSD	1.02	(0.13)	0.00	1.48	0.00	0.00	1.54	(3.98)	15.17
LEUSX	0.72	0.07	0.11	0.67	0.84	(0.79)	1.45	(1.46)	4.26
MGCUSD	0.65	0.19	0.29	(0.88)	0.50	(0.72)	1.62	(1.34)	4.36
ZFUSD	0.16	0.01	0.26	(0.48)	0.08	(0.19)	0.37	(0.25)	1.00
ZCUSX	0.99	0.08	0.09	0.94	1.16	(0.99)	2.05	(1.78)	6.00
SIUSD	1.14	0.16	0.14	(0.51)	1.23	(1.19)	2.32	(1.90)	6.39
OJUSX	2.28	(0.98)	0.00	(0.88)	0.00	0.00	3.06	(5.25)	9.05

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

Class III Milk Live Cattle Futures Micro Gold Futures Five Year Treasury Note Corn Futures Silver Futures Orange Juice

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