30 Year Correlations

ZBUSD Commodity

114.09 0.57 0.50%

The current 90-days correlation between 30 Year Treasury and Heating Oil is -0.19 (i.e., Good diversification). The correlation of 30 Year 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.

30 Year Correlation With Market

Average diversification

The correlation between 30 Year Treasury and DJI is 0.11 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding 30 Year Treasury and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to 30 Year could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace 30 Year 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 30 Year - 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 30 Year Treasury to buy it.

Moving together with ZBUSD Commodity

0.67

VLY

Valley National Bancorp

Pair Corr

Moving against ZBUSD Commodity

0.86	GOOG	Alphabet Class C Earnings Call This Week	Pair Corr
0.85	LPTH	LightPath Technologies Earnings Call This Week	Pair Corr
0.64	GILT	Gilat Satellite Networks	Pair Corr
0.61	AMZN	Amazon Inc Earnings Call This Week	Pair Corr
0.49	META	Meta Platforms Aggressive Push	Pair Corr
0.48	PLTR	Palantir Technologies Earnings Call This Week	Pair Corr
0.43	LGCY	Legacy Education	Pair Corr
0.43	BAMXF	Bayerische Motoren Werke	Pair Corr
0.4	V	Visa Class A	Pair Corr

Related Correlations Analysis

	HOUSD	CLUSD	ALIUSD	ZCUSX	SIUSD	OJUSX	BZUSD	NGUSD	ZFUSD	MGCUSD
HOUSD		0.94	0.5	0.82	-0.05	-0.37	0.97	0.65	-0.65	0.53	HOUSD
CLUSD	0.94		0.46	0.79	-0.12	-0.32	0.94	0.65	-0.64	0.45	CLUSD
ALIUSD	0.5	0.46		0.34	0.36	-0.43	0.47	0.18	0.07	0.62	ALIUSD
ZCUSX	0.82	0.79	0.34		-0.2	-0.13	0.77	0.75	-0.64	0.45	ZCUSX
SIUSD	-0.05	-0.12	0.36	-0.2		-0.31	-0.03	-0.44	0.53	0.66	SIUSD
OJUSX	-0.37	-0.32	-0.43	-0.13	-0.31		-0.35	0.2	0.08	-0.31	OJUSX
BZUSD	0.97	0.94	0.47	0.77	-0.03	-0.35		0.65	-0.66	0.51	BZUSD
NGUSD	0.65	0.65	0.18	0.75	-0.44	0.2	0.65		-0.67	0.13	NGUSD
ZFUSD	-0.65	-0.64	0.07	-0.64	0.53	0.08	-0.66	-0.67		0.03	ZFUSD
MGCUSD	0.53	0.45	0.62	0.45	0.66	-0.31	0.51	0.13	0.03		MGCUSD
	HOUSD	CLUSD	ALIUSD	ZCUSX	SIUSD	OJUSX	BZUSD	NGUSD	ZFUSD	MGCUSD

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Please upgrade your account to get full access to Macroaxis premium features

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

BZUSD	+ 0.97	HOUSD
CLUSD	+ 0.94	HOUSD
BZUSD	+ 0.94	CLUSD
ZCUSX	+ 0.82	HOUSD
ZCUSX	+ 0.79	CLUSD
BZUSD	+ 0.77	ZCUSX

High negative correlations

ZFUSD	- 0.67	NGUSD
ZFUSD	- 0.66	BZUSD
ZFUSD	- 0.65	HOUSD
ZFUSD	- 0.64	ZCUSX
ZFUSD	- 0.64	CLUSD
NGUSD	- 0.44	SIUSD

Risk-Adjusted Indicators

There is a big difference between ZBUSD Commodity performing well and 30 Year 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 30 Year'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
HOUSD	1.16	0.18	0.03	(0.28)	1.18	(1.51)	2.68	(2.18)	8.17
CLUSD	1.26	0.16	0.02	(0.27)	1.41	(1.31)	2.94	(2.45)	6.42
ALIUSD	1.09	0.09	(0.04)	(0.07)	1.21	(1.29)	2.19	(2.31)	8.19
ZCUSX	0.83	0.28	0.22	(1.88)	0.48	(1.04)	2.05	(1.17)	4.35
SIUSD	1.35	(0.03)	0.00	0.22	0.00	0.00	2.60	(3.76)	7.56
OJUSX	1.67	0.03	(0.04)	0.01	2.35	(1.49)	3.24	(3.88)	9.15
BZUSD	1.10	0.13	0.00	(0.17)	1.25	(1.20)	2.64	(2.19)	6.65
NGUSD	4.21	0.26	0.04	0.73	5.00	(4.51)	7.92	(8.19)	25.21
ZFUSD	0.14	(0.02)	0.00	(3.17)	0.00	0.00	0.34	(0.28)	1.04
MGCUSD	0.83	0.05	(0.05)	(0.08)	1.24	(0.82)	1.42	(1.84)	5.19

View 30 Year Related Equities

Heating Oil Crude Oil Aluminum Futures Corn Futures Silver Futures Orange Juice Brent Crude Oil Natural Gas Five Year Treasury Note Micro Gold Futures Class III Milk Palladium Lumber Futures Micro E mini Russell Lean Hogs Futures

Risk & Return

Correlation

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC