Correlation Between E Mini and Oat Futures
Can any of the company-specific risk be diversified away by investing in both E Mini and Oat Futures 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 Oat Futures 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 Oat Futures, you can compare the effects of market volatilities on E Mini and Oat Futures 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 Oat Futures. Check out your portfolio center. Please also check ongoing floating volatility patterns of E Mini and Oat Futures.
Diversification Opportunities for E Mini and Oat Futures
0.31 | Correlation Coefficient |
Weak diversification
The 3 months correlation between ESUSD and Oat is 0.31. Overlapping area represents the amount of risk that can be diversified away by holding E Mini SP 500 and Oat Futures in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Oat Futures 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 Oat Futures. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Oat Futures has no effect on the direction of E Mini i.e., E Mini and Oat Futures go up and down completely randomly.
Pair Corralation between E Mini and Oat Futures
Assuming the 90 days horizon E Mini SP 500 is expected to generate 0.25 times more return on investment than Oat Futures. However, E Mini SP 500 is 3.99 times less risky than Oat Futures. It trades about 0.33 of its potential returns per unit of risk. Oat Futures is currently generating about -0.15 per unit of risk. If you would invest 573,850 in E Mini SP 500 on September 1, 2024 and sell it today you would earn a total of 31,300 from holding E Mini SP 500 or generate 5.45% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 91.3% |
| Values | Daily Returns |
E Mini SP 500 vs. Oat Futures
Performance |
| Timeline |
| E Mini SP |
| Oat Futures |
E Mini and Oat Futures Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with E Mini and Oat Futures
The main advantage of trading using opposite E Mini and Oat Futures positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if E Mini position performs unexpectedly, Oat Futures 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 Oat Futures will offset losses from the drop in Oat Futures' long position.| E Mini vs. 2 Year T Note Futures | E Mini vs. Heating Oil | E Mini vs. Crude Oil | E Mini vs. Aluminum Futures |
| Oat Futures vs. 2 Year T Note Futures | Oat Futures vs. Heating Oil | Oat Futures vs. Crude Oil | Oat Futures vs. Aluminum Futures |
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 Portfolio Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.
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