Correlation Between Orange Juice and Gold Futures
Can any of the company-specific risk be diversified away by investing in both Orange Juice and Gold 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 Orange Juice and Gold Futures into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Orange Juice and Gold Futures, you can compare the effects of market volatilities on Orange Juice and Gold 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 Orange Juice with a short position of Gold Futures. Check out your portfolio center. Please also check ongoing floating volatility patterns of Orange Juice and Gold Futures.
Diversification Opportunities for Orange Juice and Gold Futures
-0.41 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Orange and Gold is -0.41. Overlapping area represents the amount of risk that can be diversified away by holding Orange Juice and Gold Futures in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gold Futures and Orange Juice 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 Orange Juice are associated (or correlated) with Gold Futures. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gold Futures has no effect on the direction of Orange Juice i.e., Orange Juice and Gold Futures go up and down completely randomly.
Pair Corralation between Orange Juice and Gold Futures
Assuming the 90 days horizon Orange Juice is expected to generate 2.86 times more return on investment than Gold Futures. However, Orange Juice is 2.86 times more volatile than Gold Futures. It trades about 0.07 of its potential returns per unit of risk. Gold Futures is currently generating about 0.09 per unit of risk. If you would invest 24,315 in Orange Juice on August 27, 2024 and sell it today you would earn a total of 26,225 from holding Orange Juice or generate 107.86% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 99.14% |
| Values | Daily Returns |
Orange Juice vs. Gold Futures
Performance |
| Timeline |
| Orange Juice |
| Gold Futures |
Orange Juice and Gold Futures Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Orange Juice and Gold Futures
The main advantage of trading using opposite Orange Juice and Gold Futures positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Orange Juice position performs unexpectedly, Gold 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 Gold Futures will offset losses from the drop in Gold Futures' long position.| Orange Juice vs. Wheat Futures | Orange Juice vs. Feeder Cattle Futures | Orange Juice vs. Micro Silver Futures | Orange Juice vs. 30 Day Fed |
| Gold Futures vs. Mini Dow Jones | Gold Futures vs. Gasoline RBOB | Gold Futures vs. Rough Rice Futures | Gold Futures 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 Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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