Gasoline RBOB Correlations

RBUSD Commodity

2.47 0.10 4.22%

The current 90-days correlation between Gasoline RBOB and Cocoa is -0.03 (i.e., Good diversification). The correlation of Gasoline RBOB 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.

Gasoline RBOB Correlation With Market

Weak diversification

The correlation between Gasoline RBOB and DJI is 0.36 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gasoline RBOB and DJI in the same portfolio, assuming nothing else is changed.

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

Moving together with Gasoline Commodity

0.69	BMYMP	Bristol Myers Squibb	Pair Corr
0.71	TSM	Taiwan Semiconductor	Pair Corr
0.79	BCPC	Balchem	Pair Corr
0.74	FGBIP	First Guaranty Bancshares	Pair Corr
0.77	NPXYY	Nippon Sanso Holdings	Pair Corr
0.77	CSBI	Carroll Shelby Inter	Pair Corr
0.65	MDDVF	Medical Developments	Pair Corr
0.67	ASML	ASML Holding NV	Pair Corr
0.61	CET	Central Securities	Pair Corr
0.81	WEEI	Westwood Salient Enhanced	Pair Corr
0.77	CNAV	Mohr Company	Pair Corr
0.61	HYP	Golden Eagle Dynamic	Pair Corr
0.83	USRT	iShares Core REIT	Pair Corr
0.86	FLMB	Franklin Liberty Federal	Pair Corr
0.62	QTAP	Innovator Growth 100	Pair Corr
0.68	SMB	VanEck Short Muni	Pair Corr
0.76	GEND	Spinnaker ETF Series	Pair Corr
0.73	HISF	First Trust High	Pair Corr
0.86	ENFR	Alerian Energy Infra	Pair Corr
0.68	YDEC	First Trust Exchange	Pair Corr
0.85	VFMV	Vanguard Minimum Vol	Pair Corr
0.67	FPAS	FPA Short Duration	Pair Corr

Moving against Gasoline Commodity

0.75	MSFT	Microsoft Aggressive Push	Pair Corr
0.6	LOWLF	Lowell Farms	Pair Corr
0.53	AMZN	Amazon Inc	Pair Corr
0.46	47233JDN5	US47233JDN54	Pair Corr

Related Correlations Analysis

	PLUSD	ZSUSX	ESUSD	ZBUSD	ZTUSD	HOUSD	CLUSD	ALIUSD	ZCUSX	SIUSD
PLUSD		-0.31	0.61	-0.07	-0.41	0.18	0.2	0.82	-0.41	0.9	PLUSD
ZSUSX	-0.31		-0.43	0.78	0.33	0.67	0.68	-0.02	0.02	-0.08	ZSUSX
ESUSD	0.61	-0.43		-0.17	-0.32	-0.13	-0.03	0.53	-0.21	0.49	ESUSD
ZBUSD	-0.07	0.78	-0.17		0.49	0.51	0.56	0.18	-0.08	0.06	ZBUSD
ZTUSD	-0.41	0.33	-0.32	0.49		-0.13	-0.04	-0.36	0.53	-0.52	ZTUSD
HOUSD	0.18	0.67	-0.13	0.51	-0.13		0.92	0.51	-0.29	0.47	HOUSD
CLUSD	0.2	0.68	-0.03	0.56	-0.04	0.92		0.56	-0.34	0.45	CLUSD
ALIUSD	0.82	-0.02	0.53	0.18	-0.36	0.51	0.56		-0.48	0.87	ALIUSD
ZCUSX	-0.41	0.02	-0.21	-0.08	0.53	-0.29	-0.34	-0.48		-0.58	ZCUSX
SIUSD	0.9	-0.08	0.49	0.06	-0.52	0.47	0.45	0.87	-0.58		SIUSD
	PLUSD	ZSUSX	ESUSD	ZBUSD	ZTUSD	HOUSD	CLUSD	ALIUSD	ZCUSX	SIUSD

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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

CLUSD	+ 0.92	HOUSD
SIUSD	+ 0.9	PLUSD
SIUSD	+ 0.87	ALIUSD
ALIUSD	+ 0.82	PLUSD
ZBUSD	+ 0.78	ZSUSX
CLUSD	+ 0.68	ZSUSX

High negative correlations

SIUSD	- 0.58	ZCUSX
SIUSD	- 0.52	ZTUSD
ZCUSX	- 0.48	ALIUSD
ESUSD	- 0.43	ZSUSX
ZCUSX	- 0.41	PLUSD
ZTUSD	- 0.41	PLUSD

Risk-Adjusted Indicators

There is a big difference between Gasoline Commodity performing well and Gasoline RBOB 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 Gasoline RBOB'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
PLUSD	3.71	0.50	0.07	(2.27)	5.97	(3.82)	6.93	(9.35)	28.45
ZSUSX	0.83	0.04	0.00	(0.20)	1.01	(0.88)	2.32	(1.65)	5.86
ESUSD	0.49	(0.01)	0.00	0.92	0.00	0.00	0.81	(1.24)	3.51
ZBUSD	0.30	0.01	(0.08)	(0.14)	0.38	(0.33)	0.65	(0.75)	1.89
ZTUSD	0.04	(0.01)	(0.85)	(1.65)	0.04	(0.05)	0.09	(0.10)	0.25
HOUSD	2.22	0.56	0.18	(0.63)	2.30	(2.63)	5.44	(3.24)	12.88
CLUSD	1.59	0.39	0.18	(1.05)	1.66	(1.83)	3.50	(2.84)	8.20
ALIUSD	1.17	0.23	0.12	(1.10)	1.29	(1.23)	2.60	(2.05)	6.44
ZCUSX	0.71	0.04	0.00	(0.74)	1.09	(0.82)	1.53	(1.29)	7.62
SIUSD	4.42	0.77	0.09	(4.38)	7.18	(4.37)	7.94	(9.11)	45.36

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