Five Year Correlations

ZFUSD Commodity

106.39 0.23 0.22%

The current 90-days correlation between Five Year Treasury and Mini Dow Jones is 0.25 (i.e., Modest diversification). The correlation of Five 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.

Five Year Correlation With Market

Significant diversification

The correlation between Five Year Treasury Note and DJI is 0.03 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Five Year Treasury Note and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to Five 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 Five 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 Five 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 Five Year Treasury Note to buy it.

Moving together with Five Commodity

0.65

VLY

Valley National Bancorp

Pair Corr

Moving against Five Commodity

0.79	GOOG	Alphabet Class C Earnings Call This Week	Pair Corr
0.73	LPTH	LightPath Technologies Earnings Call This Week	Pair Corr
0.52	AMZN	Amazon Inc Earnings Call This Week	Pair Corr
0.51	GILT	Gilat Satellite Networks	Pair Corr
0.41	PLTR	Palantir Technologies Earnings Call This Week	Pair Corr
0.35	META	Meta Platforms Aggressive Push	Pair Corr
0.35	V	Visa Class A	Pair Corr
0.34	LGCY	Legacy Education	Pair Corr

Related Correlations Analysis

	YMUSD	RBUSD	ZRUSD	PLUSD	ZSUSX	ESUSD	ZBUSD	ZTUSD	HOUSD	CLUSD
YMUSD		-0.22	0.32	-0.2	0.19	0.8	0.43	0.28	-0.13	-0.11	YMUSD
RBUSD	-0.22		-0.29	0.31	0.71	-0.09	-0.66	-0.26	0.92	0.88	RBUSD
ZRUSD	0.32	-0.29		-0.07	-0.19	0.03	0.65	0.34	-0.26	-0.28	ZRUSD
PLUSD	-0.2	0.31	-0.07		0.22	-0.33	-0.03	-0.01	0.18	0.12	PLUSD
ZSUSX	0.19	0.71	-0.19	0.22		0.2	-0.48	-0.22	0.77	0.69	ZSUSX
ESUSD	0.8	-0.09	0.03	-0.33	0.2		0.06	0.18	0.02	0.07	ESUSD
ZBUSD	0.43	-0.66	0.65	-0.03	-0.48	0.06		0.63	-0.74	-0.72	ZBUSD
ZTUSD	0.28	-0.26	0.34	-0.01	-0.22	0.18	0.63		-0.33	-0.31	ZTUSD
HOUSD	-0.13	0.92	-0.26	0.18	0.77	0.02	-0.74	-0.33		0.94	HOUSD
CLUSD	-0.11	0.88	-0.28	0.12	0.69	0.07	-0.72	-0.31	0.94		CLUSD
	YMUSD	RBUSD	ZRUSD	PLUSD	ZSUSX	ESUSD	ZBUSD	ZTUSD	HOUSD	CLUSD

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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	+ 0.94	HOUSD
HOUSD	+ 0.92	RBUSD
CLUSD	+ 0.88	RBUSD
ESUSD	+ 0.8	YMUSD
HOUSD	+ 0.77	ZSUSX
ZSUSX	+ 0.71	RBUSD

High negative correlations

HOUSD	- 0.74	ZBUSD
CLUSD	- 0.72	ZBUSD
ZBUSD	- 0.66	RBUSD
ZBUSD	- 0.48	ZSUSX
HOUSD	- 0.33	ZTUSD
ESUSD	- 0.33	PLUSD

Risk-Adjusted Indicators

There is a big difference between Five Commodity performing well and Five 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 Five 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
YMUSD	0.59	0.08	0.00	0.82	0.58	(0.70)	1.21	(0.96)	6.29
RBUSD	1.02	0.13	(0.01)	(0.15)	1.07	(1.30)	2.11	(1.85)	6.11
ZRUSD	0.83	(0.13)	0.00	(1.79)	0.00	0.00	1.78	(2.06)	5.21
PLUSD	1.20	0.03	(0.06)	(0.04)	1.45	(1.18)	2.81	(2.16)	6.25
ZSUSX	0.88	0.09	(0.01)	(1.67)	0.93	(0.97)	1.89	(1.56)	4.98
ESUSD	0.60	0.06	(0.03)	(47.54)	0.85	(0.60)	1.20	(1.37)	5.56
ZBUSD	0.47	(0.06)	0.00	(0.65)	0.00	0.00	0.79	(0.98)	2.88
ZTUSD	0.06	(0.01)	0.00	(1.94)	0.00	0.00	0.16	(0.12)	0.42
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

View Five Year Related Equities

Mini Dow Jones Gasoline RBOB Rough Rice Futures Platinum Soybean Futures E Mini SP 500 30 Year Treasury 2 Year T Note Futures Heating Oil Crude Oil Aluminum Futures Corn Futures Silver Futures Orange Juice Brent Crude Oil

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