10 Year Correlations
| ZNUSD Commodity | 111.14 0.53 0.48% |
The current 90-days correlation between 10 Year T and 2 Year T Note Futures is 0.86 (i.e., Very poor diversification). The correlation of 10 Year 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.
10 Year Correlation With Market
Average diversification
The correlation between 10 Year T Note Futures and DJI is 0.1 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding 10 Year T Note Futures and DJI in the same portfolio, assuming nothing else is changed.
ZNUSD |
The ability to find closely correlated positions to 10 Year could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace 10 Year 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 10 Year - 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 10 Year T Note Futures to buy it.
Moving together with ZNUSD Commodity
Moving against ZNUSD Commodity
Related Correlations Analysis
| -0.05 | -0.38 | -0.46 | 0.05 | -0.14 | ZTUSD | ||
| -0.05 | 0.37 | 0.8 | 0.55 | -0.45 | GFUSX | ||
| -0.38 | 0.37 | 0.55 | 0.3 | -0.48 | NGUSD | ||
| -0.46 | 0.8 | 0.55 | 0.52 | -0.38 | HOUSD | ||
| 0.05 | 0.55 | 0.3 | 0.52 | -0.88 | GCUSD | ||
| -0.14 | -0.45 | -0.48 | -0.38 | -0.88 | 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
| High negative correlations
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Risk-Adjusted Indicators
There is a big difference between ZNUSD Commodity performing well and 10 Year 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 10 Year'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| ZTUSD | 0.06 | 0.00 | 0.20 | (0.38) | 0.03 | 0.16 | 0.42 | |||
| GFUSX | 0.70 | 0.11 | 0.14 | 1.00 | 0.81 | 1.32 | 3.70 | |||
| NGUSD | 4.02 | 0.31 | 0.07 | (1.24) | 4.66 | 7.92 | 25.21 | |||
| HOUSD | 1.16 | 0.09 | 0.07 | (2.01) | 1.32 | 2.50 | 8.17 | |||
| GCUSD | 0.72 | 0.09 | 0.13 | (0.79) | 0.80 | 1.42 | 4.24 | |||
| OJUSX | 2.01 | (0.77) | 0.00 | (1.18) | 0.00 | 2.44 | 9.24 |
10 Year 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 10 Year, pairing it with other commodities or financial instruments to create a balanced, market-neutral setup.
| Risk & Return | Correlation |