Correlation Between 30 Year and E Mini
Can any of the company-specific risk be diversified away by investing in both 30 Year and E Mini 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 30 Year and E Mini into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between 30 Year Treasury and E Mini SP 500, you can compare the effects of market volatilities on 30 Year and E Mini 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 30 Year with a short position of E Mini. Check out your portfolio center. Please also check ongoing floating volatility patterns of 30 Year and E Mini.
Diversification Opportunities for 30 Year and E Mini
Pay attention - limited upside
The 3 months correlation between ZBUSD and ESUSD is -0.81. Overlapping area represents the amount of risk that can be diversified away by holding 30 Year Treasury and E Mini SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on E Mini SP and 30 Year 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 30 Year Treasury are associated (or correlated) with E Mini. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of E Mini SP has no effect on the direction of 30 Year i.e., 30 Year and E Mini go up and down completely randomly.
Pair Corralation between 30 Year and E Mini
Assuming the 90 days horizon 30 Year Treasury is expected to under-perform the E Mini. But the commodity apears to be less risky and, when comparing its historical volatility, 30 Year Treasury is 1.03 times less risky than E Mini. The commodity trades about -0.04 of its potential returns per unit of risk. The E Mini SP 500 is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest 407,575 in E Mini SP 500 on August 26, 2024 and sell it today you would earn a total of 191,125 from holding E Mini SP 500 or generate 46.89% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
30 Year Treasury vs. E Mini SP 500
Performance |
| Timeline |
| 30 Year Treasury |
| E Mini SP |
30 Year and E Mini Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with 30 Year and E Mini
The main advantage of trading using opposite 30 Year and E Mini positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if 30 Year position performs unexpectedly, E Mini 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 E Mini will offset losses from the drop in E Mini's long position.| 30 Year vs. Corn Futures | 30 Year vs. Silver Futures | 30 Year vs. Orange Juice | 30 Year vs. Brent Crude Oil |
| E Mini vs. Natural Gas | E Mini vs. Five Year Treasury Note | E Mini vs. Micro Gold Futures | E Mini vs. Class III Milk |
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 File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
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