Gasoline RBOB Correlations

RBUSD Commodity

1.81 0.02 1.09%

The current 90-days correlation between Gasoline RBOB and Class III Milk is -0.22 (i.e., Very 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

Significant diversification

The correlation between Gasoline RBOB and DJI is 0.02 (i.e., Significant 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

0.64

MSFT

Microsoft

Pair Corr

Moving against Gasoline Commodity

0.78	MT	ArcelorMittal SA ADR	Pair Corr
0.74	BMYMP	Bristol Myers Squibb	Pair Corr
0.74	LABU	Direxion Daily SP Downward Rally	Pair Corr
0.71	GT	Goodyear Tire Rubber	Pair Corr
0.71	CPSS	Consumer Portfolio	Pair Corr
0.7	ORMP	Oramed Pharmaceuticals	Pair Corr
0.68	DJD	Invesco Dow Jones	Pair Corr
0.65	EXCE	EXCO Resources	Pair Corr
0.64	AA	Alcoa Corp Earnings Call This Week	Pair Corr
0.59	FER	Ferrovial SE	Pair Corr
0.59	NLY	Annaly Capital Management	Pair Corr
0.59	ATI	Allegheny Technologies	Pair Corr
0.57	GOOG	Alphabet Class C Aggressive Push	Pair Corr
0.52	INOV	Innovator ETFs Trust	Pair Corr
0.5	PEB	Pebblebrook Hotel Trust	Pair Corr
0.49	GUSYX	Grandeur Peak Stalwarts	Pair Corr
0.49	PCY	Invesco Emerging Markets	Pair Corr
0.76	GLOSX	Pioneer Global Equity	Pair Corr
0.69	RJAIX	T Rowe Price	Pair Corr
0.69	VCFVX	Foreign Value	Pair Corr
0.66	JEPI	JPMorgan Equity Premium	Pair Corr
0.66	JPDRX	Jpmorgan Preferred And	Pair Corr
0.66	NOIGX	Northern International	Pair Corr
0.65	GYLD	Arrow ETF Trust	Pair Corr
0.65	RPFIX	Royce Premier	Pair Corr
0.65	TNVAX	1290 Gamco Smallmid	Pair Corr
0.61	FNDC	Schwab Fundamental	Pair Corr
0.61	FNDF	Schwab Fundamental Sell-off Trend	Pair Corr
0.61	RINYX	International Developed	Pair Corr

Related Correlations Analysis

	DCUSD	ZFUSD	LBUSD	PAUSD	DXUSD
DCUSD		0.33	0.07	-0.83	0.66	DCUSD
ZFUSD	0.33		0.38	-0.38	0.07	ZFUSD
LBUSD	0.07	0.38		-0.02	-0.25	LBUSD
PAUSD	-0.83	-0.38	-0.02		-0.69	PAUSD
DXUSD	0.66	0.07	-0.25	-0.69		DXUSD
	DCUSD	ZFUSD	LBUSD	PAUSD	DXUSD

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	+ 0.66	DCUSD
LBUSD	+ 0.38	ZFUSD
ZFUSD	+ 0.33	DCUSD
LBUSD	+ 0.07	DCUSD
DXUSD	+ 0.07	ZFUSD

High negative correlations

PAUSD	- 0.83	DCUSD
DXUSD	- 0.69	PAUSD
PAUSD	- 0.38	ZFUSD
DXUSD	- 0.25	LBUSD
PAUSD	- 0.02	LBUSD

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
DCUSD	0.87	(0.14)	0.00	(0.98)	0.00	0.00	1.90	(1.96)	16.75
ZFUSD	0.11	(0.02)	0.00	0.44	0.00	0.00	0.17	(0.22)	0.56
LBUSD	1.16	(0.16)	0.00	0.36	0.00	0.00	1.39	(2.82)	10.46
PAUSD	2.58	0.25	0.06	0.33	4.26	(2.54)	5.21	(5.28)	23.40
DXUSD	0.19	0.01	(0.39)	(0.04)	0.20	(0.20)	0.36	(0.43)	1.05

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

Class III Milk Five Year Treasury Note Lumber Futures Palladium US Dollar

Risk & Return

Correlation

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