Correlation Between Orange Juice and E Mini

Can any of the company-specific risk be diversified away by investing in both Orange Juice and E Mini at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Orange Juice and E Mini into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Orange Juice and E Mini SP 500, you can compare the effects of market volatilities on Orange Juice and E Mini and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Orange Juice with a short position of E Mini. Check out your portfolio center. Please also check ongoing floating volatility patterns of Orange Juice and E Mini.

Diversification Opportunities for Orange Juice and E Mini

-0.07

Correlation Coefficient

Orange Juice  E Mini

Good diversification

The 3 months correlation between Orange and ESUSD is -0.07. Overlapping area represents the amount of risk that can be diversified away by holding Orange Juice and E Mini SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on E Mini SP and Orange Juice is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Orange Juice are associated (or correlated) with E Mini. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of E Mini SP has no effect on the direction of Orange Juice i.e., Orange Juice and E Mini go up and down completely randomly.

Pair Corralation between Orange Juice and E Mini

Assuming the 90 days horizon Orange Juice is expected to under-perform the E Mini. In addition to that, Orange Juice is 2.89 times more volatile than E Mini SP 500. It trades about -0.32 of its total potential returns per unit of risk. E Mini SP 500 is currently generating about -0.03 per unit of volatility. If you would invest  609,850  in E Mini SP 500 on December 4, 2024 and sell it today you would lose (12,225) from holding E Mini SP 500 or give up 2.0% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Orange Juice  vs.  E Mini SP 500

Orange Juice

Risk-Adjusted Performance

Very Weak

Over the last 90 days Orange Juice has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of weak performance in the last few months, the Commodity's basic indicators remain fairly strong which may send shares a bit higher in April 2025. The current disturbance may also be a sign of long term up-swing for Orange Juice investors.

E Mini SP

Risk-Adjusted Performance

Very Weak

Over the last 90 days E Mini SP 500 has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of rather sound basic indicators, E Mini is not utilizing all of its potentials. The latest stock price tumult, may contribute to shorter-term losses for the shareholders.

Pair Trading with Orange Juice and E Mini

The main advantage of trading using opposite Orange Juice and E Mini positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Orange Juice position performs unexpectedly, E Mini can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in E Mini will offset losses from the drop in E Mini's long position.

The idea behind Orange Juice and E Mini SP 500 pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.