Copper Correlations

HGUSD Commodity

5.83 0.14 2.35%

The current 90-days correlation between Copper and Lean Hogs Futures is -0.12 (i.e., Good diversification). The correlation of Copper 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.

Copper Correlation With Market

Very poor diversification

The correlation between Copper and DJI is 0.86 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Copper and DJI in the same portfolio, assuming nothing else is changed.

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

Moving together with Copper Commodity

0.8	GOOG	Alphabet Class C	Pair Corr
0.74	BMYMP	Bristol Myers Squibb	Pair Corr
0.63	META	Meta Platforms	Pair Corr
0.82	TSM	Taiwan Semiconductor Aggressive Push	Pair Corr
0.8	RBA	RB Global Earnings Call This Week	Pair Corr
0.81	ARCB	ArcBest Corp	Pair Corr
0.91	NFYEF	NFI Group	Pair Corr
0.81	TCBI	Texas Capital Bancshares	Pair Corr
0.69	PB	Prosperity Bancshares	Pair Corr
0.92	RKLIF	Rentokil Initial plc	Pair Corr
0.62	GLWLF	Glow Lifetech Corp	Pair Corr
0.77	CGIFF	Chemtrade Logistics	Pair Corr
0.85	APPM	Apparel Manufacturing	Pair Corr
0.72	PMSNF	Proteome Sciences plc	Pair Corr
0.84	GRMC	Goldrich Mining	Pair Corr
0.81	NUMI	NuShares ETF Trust	Pair Corr
0.9	IGSB	iShares 1 5	Pair Corr
0.86	TOUS	T Rowe Price	Pair Corr
0.91	ZNOV	Innovator Equity Defined	Pair Corr
0.8	XBI	SPDR SP Biotech	Pair Corr
0.7	FEUS	FlexShares ESG Climate	Pair Corr
0.79	HAUZ	Xtrackers International	Pair Corr
0.78	NUEM	NuShares ETF Trust	Pair Corr
0.8	BCD	abrdn Bloomberg All	Pair Corr
0.9	CPSN	Calamos ETF Trust	Pair Corr
0.77	CCFE	Concourse Capital Focused	Pair Corr
0.89	AGZD	WisdomTree Interest Rate	Pair Corr
0.9	SIXD	AIM ETF Products	Pair Corr
0.88	FVC	First Trust Dorsey	Pair Corr
0.8	TSPX	Twin Oak Active	Pair Corr
0.84	DIVB	iShares Dividend	Pair Corr

Moving against Copper Commodity

0.84	FATBB	FAT Brands	Pair Corr
0.61	MSFT	Microsoft	Pair Corr
0.49	NSTM	Hollywood Media	Pair Corr
0.46	AAPL	Apple Inc	Pair Corr

Related Correlations Analysis

	ZFUSD	DCUSD	CTUSX	ZCUSX	NGUSD	CCUSD	HEUSX
ZFUSD		0.63	0.16	0.28	0.05	0.44	-0.7	ZFUSD
DCUSD	0.63		0.0	0.11	0.27	0.31	-0.78	DCUSD
CTUSX	0.16	0.0		0.17	0.11	0.55	-0.27	CTUSX
ZCUSX	0.28	0.11	0.17		0.06	0.63	-0.22	ZCUSX
NGUSD	0.05	0.27	0.11	0.06		0.03	-0.32	NGUSD
CCUSD	0.44	0.31	0.55	0.63	0.03		-0.51	CCUSD
HEUSX	-0.7	-0.78	-0.27	-0.22	-0.32	-0.51		HEUSX
	ZFUSD	DCUSD	CTUSX	ZCUSX	NGUSD	CCUSD	HEUSX

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

DCUSD	+ 0.63	ZFUSD
CCUSD	+ 0.63	ZCUSX
CCUSD	+ 0.55	CTUSX
CCUSD	+ 0.44	ZFUSD
CCUSD	+ 0.31	DCUSD
ZCUSX	+ 0.28	ZFUSD

High negative correlations

HEUSX	- 0.78	DCUSD
HEUSX	- 0.7	ZFUSD
HEUSX	- 0.51	CCUSD
HEUSX	- 0.32	NGUSD
HEUSX	- 0.27	CTUSX
HEUSX	- 0.22	ZCUSX

Risk-Adjusted Indicators

There is a big difference between Copper Commodity performing well and Copper 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 Copper'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
ZFUSD	0.11	(0.01)	(0.62)	0.17	0.12	(0.11)	0.17	(0.20)	0.52
DCUSD	0.92	(0.02)	0.00	0.09	0.00	0.00	1.90	(1.30)	16.75
CTUSX	0.59	0.00	(0.11)	0.06	0.68	(0.78)	1.37	(1.13)	4.51
ZCUSX	0.78	0.00	(0.06)	0.04	1.19	(0.90)	1.53	(1.60)	7.62
NGUSD	5.67	(0.01)	(0.01)	0.04	10.26	(5.87)	12.05	(8.70)	75.12
CCUSD	2.63	(0.71)	0.00	(1.83)	0.00	0.00	3.83	(6.42)	20.12
HEUSX	0.94	0.21	0.13	1.28	0.88	(1.07)	2.45	(2.09)	7.42

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

Five Year Treasury Note Class III Milk Cotton Corn Futures Natural Gas Cocoa Lean Hogs Futures

Risk & Return

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