Correlation Between E Mini and Orange Juice
Can any of the company-specific risk be diversified away by investing in both E Mini and Orange Juice at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining E Mini and Orange Juice into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between E Mini SP 500 and Orange Juice, you can compare the effects of market volatilities on E Mini and Orange Juice and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in E Mini with a short position of Orange Juice. Check out your portfolio center. Please also check ongoing floating volatility patterns of E Mini and Orange Juice.
Diversification Opportunities for E Mini and Orange Juice
0.21 | Correlation Coefficient |
Modest diversification
The 3 months correlation between ESUSD and Orange is 0.21. Overlapping area represents the amount of risk that can be diversified away by holding E Mini SP 500 and Orange Juice in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Orange Juice and E Mini is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on E Mini SP 500 are associated (or correlated) with Orange Juice. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Orange Juice has no effect on the direction of E Mini i.e., E Mini and Orange Juice go up and down completely randomly.
Pair Corralation between E Mini and Orange Juice
Assuming the 90 days horizon E Mini SP 500 is expected to generate 0.4 times more return on investment than Orange Juice. However, E Mini SP 500 is 2.53 times less risky than Orange Juice. It trades about 0.14 of its potential returns per unit of risk. Orange Juice is currently generating about -0.08 per unit of risk. If you would invest 591,650 in E Mini SP 500 on November 3, 2024 and sell it today you would earn a total of 15,000 from holding E Mini SP 500 or generate 2.54% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
E Mini SP 500 vs. Orange Juice
Performance |
| Timeline |
| E Mini SP |
| Orange Juice |
E Mini and Orange Juice Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with E Mini and Orange Juice
The main advantage of trading using opposite E Mini and Orange Juice positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if E Mini position performs unexpectedly, Orange Juice can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Orange Juice will offset losses from the drop in Orange Juice's long position.| E Mini vs. Micro E mini Russell | E Mini vs. Cocoa | E Mini vs. Five Year Treasury Note | E Mini vs. Class III Milk |
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Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
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