Coffee Correlations

KCUSX Commodity

285.70 0.30 0.11%

The current 90-days correlation between Coffee and Cocoa is 0.31 (i.e., Weak diversification). The correlation of Coffee 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. If the correlation is 0, the equities are not correlated; they are entirely random.

Coffee Correlation With Market

Excellent diversification

The correlation between Coffee and DJI is -0.68 (i.e., Excellent diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Coffee and DJI in the same portfolio, assuming nothing else is changed.

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

Moving together with Coffee Commodity

0.9	MSFT	Microsoft	Pair Corr
0.65	AMZN	Amazon Inc Aggressive Push	Pair Corr

Moving against Coffee Commodity

0.89	RNECF	Renesas Electronics	Pair Corr
0.88	NVST	Envista Holdings Corp	Pair Corr
0.84	WMT	Walmart Common Stock	Pair Corr
0.83	NOK	Nokia Corp ADR Aggressive Push	Pair Corr
0.83	BIL	SPDR Bloomberg 1	Pair Corr
0.81	THAR	Tharimmune Symbol Change	Pair Corr
0.8	BMYMP	Bristol Myers Squibb	Pair Corr
0.79	HWC	Hancock Whitney Corp	Pair Corr
0.78	TSM	Taiwan Semiconductor	Pair Corr
0.78	IYR	iShares Real Estate	Pair Corr
0.75	CHCO	City Holding	Pair Corr
0.74	LBGUF	L E Lundbergfretagen	Pair Corr
0.74	GROW	US Global Investors	Pair Corr
0.68	PMAY	Innovator SP 500	Pair Corr
0.62	HROEY	Hirose Electric CoLtd Tech Boost	Pair Corr
0.57	IPSC	Century Therapeutics	Pair Corr
0.5	ESIFF	ESG Global Impact	Pair Corr
0.4	VTDRF	Vantage Drilling Int	Pair Corr
0.38	TSPX	Twin Oak Active	Pair Corr
0.34	META	Meta Platforms	Pair Corr
0.88	PSCC	Invesco SP SmallCap	Pair Corr
0.87	PMIO	PGIM ETF Trust	Pair Corr
0.86	WEBS	Direxion Daily Dow	Pair Corr
0.85	AMECX	Income Fund	Pair Corr
0.81	IYM	iShares Basic Materials	Pair Corr
0.79	OIBIX	Oppenheimer Intl	Pair Corr
0.74	VIG	Vanguard Dividend	Pair Corr
0.74	CGTCX	Us Government Securities	Pair Corr
0.72	TRRLX	T Rowe Price	Pair Corr
0.7	IISTX	Voya Index Solution	Pair Corr
0.69	VSTCX	Vanguard Strategic	Pair Corr
0.65	CLTCX	Catalyst/lyons Tactical	Pair Corr
0.64	IBBQ	Invesco Nasdaq Biote	Pair Corr

Related Correlations Analysis

	ZCUSX	SIUSD	OJUSX	BZUSD	NGUSD	ZFUSD	MGCUSD	DCUSD	PAUSD	LBUSD
ZCUSX		-0.42	-0.24	-0.6	0.15	0.19	-0.49	0.21	-0.17	-0.48	ZCUSX
SIUSD	-0.42		0.79	0.5	-0.07	-0.7	0.82	-0.84	0.88	0.6	SIUSD
OJUSX	-0.24	0.79		0.27	-0.16	-0.53	0.54	-0.74	0.8	0.35	OJUSX
BZUSD	-0.6	0.5	0.27		-0.28	-0.21	0.82	-0.39	0.24	0.68	BZUSD
NGUSD	0.15	-0.07	-0.16	-0.28		-0.1	-0.26	0.29	-0.12	-0.06	NGUSD
ZFUSD	0.19	-0.7	-0.53	-0.21	-0.1		-0.44	0.59	-0.6	-0.4	ZFUSD
MGCUSD	-0.49	0.82	0.54	0.82	-0.26	-0.44		-0.7	0.66	0.83	MGCUSD
DCUSD	0.21	-0.84	-0.74	-0.39	0.29	0.59	-0.7		-0.8	-0.47	DCUSD
PAUSD	-0.17	0.88	0.8	0.24	-0.12	-0.6	0.66	-0.8		0.42	PAUSD
LBUSD	-0.48	0.6	0.35	0.68	-0.06	-0.4	0.83	-0.47	0.42		LBUSD
	ZCUSX	SIUSD	OJUSX	BZUSD	NGUSD	ZFUSD	MGCUSD	DCUSD	PAUSD	LBUSD

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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

PAUSD	+ 0.88	SIUSD
LBUSD	+ 0.83	MGCUSD
MGCUSD	+ 0.82	SIUSD
MGCUSD	+ 0.82	BZUSD
PAUSD	+ 0.8	OJUSX
OJUSX	+ 0.79	SIUSD

High negative correlations

DCUSD	- 0.84	SIUSD
PAUSD	- 0.8	DCUSD
DCUSD	- 0.74	OJUSX
DCUSD	- 0.7	MGCUSD
ZFUSD	- 0.7	SIUSD
PAUSD	- 0.6	ZFUSD

Risk-Adjusted Indicators

There is a big difference between Coffee Commodity performing well and Coffee 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 Coffee'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
ZCUSX	0.71	(0.05)	0.00	(0.20)	0.00	0.00	1.53	(1.44)	7.62
SIUSD	4.26	0.94	0.11	4.49	6.93	(4.32)	7.94	(9.11)	45.36
OJUSX	3.71	0.19	0.03	0.74	5.28	(3.45)	7.33	(8.32)	22.03
BZUSD	1.31	0.20	0.07	(3.44)	1.59	(1.40)	3.02	(2.71)	7.74
NGUSD	5.59	(0.05)	0.00	(1.73)	0.00	0.00	12.05	(8.70)	75.12
ZFUSD	0.10	(0.01)	(0.63)	(4.94)	0.11	(0.12)	0.22	(0.20)	0.52
MGCUSD	1.30	0.34	0.09	(341.11)	2.37	(1.34)	2.83	(2.78)	15.73
DCUSD	0.95	(0.20)	0.00	(2.05)	0.00	0.00	1.90	(2.28)	16.75
PAUSD	3.23	0.52	0.07	(1.07)	5.52	(3.12)	6.75	(7.62)	24.39
LBUSD	1.08	0.23	0.10	(0.60)	1.08	(1.16)	1.76	(1.99)	12.91

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