Brent Crude Correlations

BZUSD Commodity

75.61 0.88 1.15%

The current 90-days correlation between Brent Crude Oil and Orange Juice is -0.19 (i.e., Good diversification). The correlation of Brent Crude 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.

Brent Crude Correlation With Market

Very good diversification

The correlation between Brent Crude Oil and DJI is -0.28 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Brent Crude Oil and DJI in the same portfolio, assuming nothing else is changed.

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

Moving together with Brent Commodity

0.63	GILT	Gilat Satellite Networks	Pair Corr
0.66	OBIL	US Treasury 12	Pair Corr
0.66	BIL	SPDR Bloomberg 1	Pair Corr

Moving against Brent Commodity

0.65	ORCL	Oracle	Pair Corr
0.47	BTCM	BIT Mining	Pair Corr
0.39	BCML	BayCom Corp Normal Trading	Pair Corr
0.56	NIXT	Research Affiliates	Pair Corr
0.55	VIOV	Vanguard SP Small	Pair Corr
0.45	GSWPX	Goldman Sachs Smallmid	Pair Corr
0.44	EZM	WisdomTree MidCap	Pair Corr
0.43	RFDA	RiverFront Dynamic	Pair Corr
0.4	JRODX	J Hancock Ii	Pair Corr
0.32	DFEOX	Us E Equity	Pair Corr
0.31	LTMIX	Thornburg Limited Term	Pair Corr

Related Correlations Analysis

	OJUSX	RTYUSD	SIUSD	MGCUSD	NGUSD	SILUSD	ZTUSD	CLUSD
OJUSX		0.22	-0.33	-0.32	0.14	-0.32	0.04	-0.35	OJUSX
RTYUSD	0.22		0.19	-0.23	-0.44	0.13	0.37	-0.61	RTYUSD
SIUSD	-0.33	0.19		0.59	-0.39	0.76	0.54	0.01	SIUSD
MGCUSD	-0.32	-0.23	0.59		0.25	0.46	0.28	0.59	MGCUSD
NGUSD	0.14	-0.44	-0.39	0.25		-0.36	-0.31	0.65	NGUSD
SILUSD	-0.32	0.13	0.76	0.46	-0.36		0.62	0.0	SILUSD
ZTUSD	0.04	0.37	0.54	0.28	-0.31	0.62		-0.28	ZTUSD
CLUSD	-0.35	-0.61	0.01	0.59	0.65	0.0	-0.28		CLUSD
	OJUSX	RTYUSD	SIUSD	MGCUSD	NGUSD	SILUSD	ZTUSD	CLUSD

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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

SILUSD	+ 0.76	SIUSD
CLUSD	+ 0.65	NGUSD
ZTUSD	+ 0.62	SILUSD
MGCUSD	+ 0.59	SIUSD
CLUSD	+ 0.59	MGCUSD
ZTUSD	+ 0.54	SIUSD

High negative correlations

CLUSD	- 0.61	RTYUSD
NGUSD	- 0.44	RTYUSD
NGUSD	- 0.39	SIUSD
SILUSD	- 0.36	NGUSD
CLUSD	- 0.35	OJUSX
SIUSD	- 0.33	OJUSX

Risk-Adjusted Indicators

There is a big difference between Brent Commodity performing well and Brent Crude 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 Brent Crude'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
OJUSX	1.72	(0.05)	0.00	(0.05)	0.00	0.00	3.24	(3.88)	9.15
RTYUSD	0.87	0.04	(0.01)	0.26	1.04	(0.93)	1.88	(1.62)	9.24
SIUSD	1.30	(0.03)	0.00	0.20	0.00	0.00	2.26	(3.51)	7.56
MGCUSD	0.80	0.03	(0.05)	(0.03)	1.24	(0.76)	1.41	(1.72)	5.19
NGUSD	4.28	0.38	0.06	0.86	5.05	(4.64)	7.92	(8.19)	25.04
SILUSD	1.28	(0.06)	0.00	(0.48)	0.00	0.00	2.26	(3.51)	7.56
ZTUSD	0.06	(0.01)	0.00	(1.74)	0.00	0.00	0.16	(0.12)	0.42
CLUSD	1.26	0.12	0.00	(0.13)	1.44	(1.33)	2.94	(2.45)	6.42

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

Orange Juice Micro E mini Russell Silver Futures Micro Gold Futures Natural Gas Micro Silver Futures 2 Year T Note Futures Crude Oil

Risk & Return

Correlation

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC