10 Year Correlations

ZNUSD Commodity

109.11 0.16 0.15%

The current 90-days correlation between 10 Year T and Mini Dow Jones is 0.22 (i.e., Modest diversification). The correlation of 10 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.

10 Year Correlation With Market

Significant diversification

The correlation between 10 Year T Note Futures 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 10 Year T Note Futures and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to 10 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 10 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 10 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 10 Year T Note Futures to buy it.

Moving together with ZNUSD Commodity

0.68

ORCL

Oracle

Pair Corr

Moving against ZNUSD Commodity

0.83	GOOG	Alphabet Class C Earnings Call This Week	Pair Corr
0.71	FRSX	Foresight Autonomous	Pair Corr
0.68	VUZI	Vuzix Corp Cmn Upward Rally	Pair Corr
0.61	BBAI	BigBearai Holdings Upward Rally	Pair Corr
0.59	DAVA	Endava	Pair Corr
0.59	GILT	Gilat Satellite Networks	Pair Corr
0.57	AMZN	Amazon Inc Earnings Call This Week	Pair Corr
0.56	EXCH	Exchange Bankshares	Pair Corr
0.48	PLTR	Palantir Technologies Earnings Call This Week	Pair Corr
0.45	META	Meta Platforms Aggressive Push	Pair Corr
0.45	MNPR	Monopar Therapeutics	Pair Corr
0.39	LGCY	Legacy Education	Pair Corr
0.37	NTDOY	Nintendo Co ADR Earnings Call This Week	Pair Corr
0.69	OBIL	US Treasury 12	Pair Corr
0.69	BIL	SPDR Bloomberg 1	Pair Corr
0.63	SSAGX	Virtus Seix Government	Pair Corr
0.62	LFRIX	Floating Rate	Pair Corr
0.49	LALDX	Lord Abbett Short	Pair Corr
0.4	IWF	iShares Russell 1000	Pair Corr

Related Correlations Analysis

	YMUSD	RBUSD	ZRUSD	PLUSD	ZSUSX	ESUSD	ZBUSD	ZTUSD	HOUSD	CLUSD
YMUSD		-0.22	0.35	-0.33	0.17	0.81	0.42	0.23	-0.11	-0.23	YMUSD
RBUSD	-0.22		-0.28	0.17	0.7	-0.08	-0.67	-0.3	0.92	0.95	RBUSD
ZRUSD	0.35	-0.28		0.06	-0.16	0.04	0.66	0.38	-0.26	-0.31	ZRUSD
PLUSD	-0.33	0.17	0.06		0.14	-0.43	0.04	0.08	0.06	0.07	PLUSD
ZSUSX	0.17	0.7	-0.16	0.14		0.19	-0.48	-0.23	0.76	0.66	ZSUSX
ESUSD	0.81	-0.08	0.04	-0.43	0.19		0.05	0.13	0.03	-0.02	ESUSD
ZBUSD	0.42	-0.67	0.66	0.04	-0.48	0.05		0.64	-0.74	-0.77	ZBUSD
ZTUSD	0.23	-0.3	0.38	0.08	-0.23	0.13	0.64		-0.35	-0.34	ZTUSD
HOUSD	-0.11	0.92	-0.26	0.06	0.76	0.03	-0.74	-0.35		0.96	HOUSD
CLUSD	-0.23	0.95	-0.31	0.07	0.66	-0.02	-0.77	-0.34	0.96		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	+ 0.96	HOUSD
CLUSD	+ 0.95	RBUSD
HOUSD	+ 0.92	RBUSD
ESUSD	+ 0.81	YMUSD
HOUSD	+ 0.76	ZSUSX
ZSUSX	+ 0.7	RBUSD

High negative correlations

CLUSD	- 0.77	ZBUSD
HOUSD	- 0.74	ZBUSD
ZBUSD	- 0.67	RBUSD
ZBUSD	- 0.48	ZSUSX
ESUSD	- 0.43	PLUSD
HOUSD	- 0.35	ZTUSD

Risk-Adjusted Indicators

There is a big difference between ZNUSD Commodity performing well and 10 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 10 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	0.07	0.01	0.73	0.58	(0.71)	1.21	(0.96)	6.29
RBUSD	1.03	0.13	0.01	(0.16)	1.06	(1.32)	2.11	(1.85)	6.11
ZRUSD	0.82	(0.11)	0.00	(1.36)	0.00	0.00	1.78	(2.06)	5.21
PLUSD	1.19	(0.10)	0.00	0.66	0.00	0.00	2.39	(2.20)	6.25
ZSUSX	0.88	0.09	0.01	(4.58)	0.91	(0.97)	1.89	(1.41)	4.98
ESUSD	0.60	0.00	(0.03)	0.00	0.84	(0.60)	1.20	(1.37)	5.56
ZBUSD	0.47	(0.06)	0.00	(0.72)	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	1.18	0.24	0.09	(0.40)	1.12	(1.56)	2.80	(2.18)	8.17
CLUSD	1.25	0.17	0.03	(0.20)	1.39	(1.31)	2.94	(2.45)	6.42

View 10 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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