Correlation Between E Mini and Five Year
Can any of the company-specific risk be diversified away by investing in both E Mini and Five Year 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 Five Year 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 Five Year Treasury Note, you can compare the effects of market volatilities on E Mini and Five Year 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 Five Year. Check out your portfolio center. Please also check ongoing floating volatility patterns of E Mini and Five Year.
Diversification Opportunities for E Mini and Five Year
Significant diversification
The 3 months correlation between ESUSD and Five is 0.09. Overlapping area represents the amount of risk that can be diversified away by holding E Mini SP 500 and Five Year Treasury Note in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Five Year Treasury 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 Five Year. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Five Year Treasury has no effect on the direction of E Mini i.e., E Mini and Five Year go up and down completely randomly.
Pair Corralation between E Mini and Five Year
Assuming the 90 days horizon E Mini SP 500 is expected to generate 3.66 times more return on investment than Five Year. However, E Mini is 3.66 times more volatile than Five Year Treasury Note. It trades about 0.14 of its potential returns per unit of risk. Five Year Treasury Note is currently generating about 0.01 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 | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
E Mini SP 500 vs. Five Year Treasury Note
Performance |
| Timeline |
| E Mini SP |
| Five Year Treasury |
E Mini and Five Year Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with E Mini and Five Year
The main advantage of trading using opposite E Mini and Five Year positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if E Mini position performs unexpectedly, Five Year 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 Five Year will offset losses from the drop in Five Year'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 |
| Five Year vs. Mini Dow Jones | Five Year vs. Gasoline RBOB | Five Year vs. Rough Rice Futures | Five Year vs. Platinum |
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 Transaction History module to view history of all your transactions and understand their impact on performance.
Other Complementary Tools
| Portfolio Anywhere Track or share privately all of your investments from the convenience of any device | |
| Analyst Advice Analyst recommendations and target price estimates broken down by several categories | |
| Efficient Frontier Plot and analyze your portfolio and positions against risk-return landscape of the market. | |
| Financial Widgets Easily integrated Macroaxis content with over 30 different plug-and-play financial widgets | |
| Portfolio Comparator Compare the composition, asset allocations and performance of any two portfolios in your account |