E Mini Correlations

Commodities . USA . 
Commodity . E Mini SP 500
ESUSD Commodity   5,987  16.50  0.28%   
The current 90-days correlation between E Mini SP and Natural Gas is -0.02 (i.e., Good diversification). The correlation of E Mini 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.

E Mini Correlation With Market

Poor diversification

The correlation between E Mini SP 500 and DJI is 0.68 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding E Mini SP 500 and DJI in the same portfolio, assuming nothing else is changed.
  
The ability to find closely correlated positions to E Mini could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace E Mini 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 E Mini - 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 E Mini SP 500 to buy it.

Moving together with ESUSD Commodity

  0.88NVDA NVIDIAPairCorr
  0.61BMYMP Bristol Myers SquibbPairCorr
  0.82AMZN Amazon IncPairCorr
  0.8GOOG Alphabet Class CPairCorr
  0.84META Meta PlatformsPairCorr
  0.84COF Capital One Financial Fiscal Year End 23rd of January 2025 PairCorr
  0.84CISO Cerberus Cyber SentinelPairCorr
  0.63IMBBY Imperial Brands PLCPairCorr
  0.63DE Deere Company Fiscal Year End 27th of November 2024 PairCorr
  0.78RKLB Rocket Lab USA Aggressive PushPairCorr
  0.94PYPL PayPal HoldingsPairCorr
  0.96WAB Westinghouse Air BrakePairCorr
  0.82PPSI Pioneer Power SolutionsPairCorr
  0.61TZOO TravelzooPairCorr
  0.67LDOS Leidos HoldingsPairCorr
  0.81LULU Lululemon AthleticaPairCorr
  0.79SOFI SoFi Technologies Aggressive PushPairCorr
  0.77DISO Tidal Trust IIPairCorr
  0.84XLF Financial Select Sector Aggressive PushPairCorr
  0.71ETH Grayscale Ethereum MiniPairCorr
  0.71IDU iShares Utilities ETFPairCorr
  0.77BTC Grayscale Bitcoin MiniPairCorr
  0.91DIVG Invesco Exchange TradedPairCorr
  0.95XLK Technology Select SectorPairCorr
  0.98OEF iShares SP 100PairCorr
  0.86USFR WisdomTree Floating RatePairCorr
  0.93MAGS Roundhill MagnificentPairCorr
  0.85WGMI Valkyrie Bitcoin MinersPairCorr
  0.75BTF Valkyrie Bitcoin StrategyPairCorr
  0.93SCHD Schwab Dividend EquityPairCorr
  0.89DSTL Distillate FundamentalPairCorr
  0.95LLPFX Longleaf PartnersPairCorr
  0.89RQECX Resq Dynamic AllocationPairCorr

Related Correlations Analysis

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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   
DXUSD
+ 0.85
LBUSD
LBUSD
+ 0.79
NGUSD
PAUSD
+ 0.78
MGCUSD
RTYUSD
+ 0.78
LBUSD
DCUSD
+ 0.77
ZFUSD
DXUSD
+ 0.71
RTYUSD
  
High negative correlations   
DXUSD
- 0.94
ZFUSD
LBUSD
- 0.79
ZFUSD
RTYUSD
- 0.71
ZFUSD
DXUSD
- 0.66
DCUSD
LBUSD
- 0.56
DCUSD
RTYUSD
- 0.51
DCUSD

Risk-Adjusted Indicators

There is a big difference between ESUSD Commodity performing well and E Mini 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 E Mini'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
NGUSD  3.43  0.87  0.17 (0.88) 3.26 
(4.08)
 7.69 
(5.32)
 30.19 
ZFUSD  0.16 (0.04) 0.00  0.86  0.00 
 0.00 
 0.30 
(0.35)
 1.13 
MGCUSD  0.69  0.10 (0.03)(0.72) 0.94 
(0.71)
 1.30 
(1.28)
 4.36 
DCUSD  0.77  0.04  0.00  0.06  0.00 
 0.00 
 0.83 
(0.90)
 21.45 
PAUSD  2.38  0.11  0.01  0.48  2.48 
(2.78)
 4.51 
(3.68)
 15.36 
LBUSD  1.26  0.23  0.09  4.05  1.10 
(1.47)
 3.42 
(1.97)
 9.80 
RTYUSD  0.91 (0.03) 0.00  0.10  0.97 
(0.99)
 2.05 
(1.72)
 7.61 
HEUSX  1.02  0.04 (0.05) 6.68  1.70 
(1.01)
 2.09 
(2.17)
 9.91 
DXUSD  0.29  0.07 (0.10) 0.59  0.00 
(0.31)
 0.52 
(0.45)
 2.35 
CTUSX  0.95 (0.02)(0.12)(0.05) 1.08 
(1.05)
 2.05 
(1.82)
 6.64 

E Mini 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 E Mini, pairing it with other commodities or financial instruments to create a balanced, market-neutral setup.
 Risk & Return  Correlation
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