Correlation Between Five Year and Sugar
Can any of the company-specific risk be diversified away by investing in both Five Year and Sugar 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 Five Year and Sugar into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Five Year Treasury Note and Sugar, you can compare the effects of market volatilities on Five Year and Sugar 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 Five Year with a short position of Sugar. Check out your portfolio center. Please also check ongoing floating volatility patterns of Five Year and Sugar.
Diversification Opportunities for Five Year and Sugar
Very good diversification
The 3 months correlation between Five and Sugar is -0.33. Overlapping area represents the amount of risk that can be diversified away by holding Five Year Treasury Note and Sugar in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sugar and Five 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 Five Year Treasury Note are associated (or correlated) with Sugar. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sugar has no effect on the direction of Five Year i.e., Five Year and Sugar go up and down completely randomly.
Pair Corralation between Five Year and Sugar
Assuming the 90 days horizon Five Year Treasury Note is expected to generate 0.13 times more return on investment than Sugar. However, Five Year Treasury Note is 7.81 times less risky than Sugar. It trades about -0.04 of its potential returns per unit of risk. Sugar is currently generating about -0.08 per unit of risk. If you would invest 10,738 in Five Year Treasury Note on August 31, 2024 and sell it today you would lose (20.00) from holding Five Year Treasury Note or give up 0.19% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 95.65% |
| Values | Daily Returns |
Five Year Treasury Note vs. Sugar
Performance |
| Timeline |
| Five Year Treasury |
| Sugar |
Five Year and Sugar Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Five Year and Sugar
The main advantage of trading using opposite Five Year and Sugar positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Five Year position performs unexpectedly, Sugar 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 Sugar will offset losses from the drop in Sugar's long position.| Five Year vs. Micro Gold Futures | Five Year vs. Silver Futures | Five Year vs. Micro E mini Russell | Five Year vs. E Mini SP 500 |
| Sugar vs. Oat Futures | Sugar vs. Wheat Futures | Sugar vs. Feeder Cattle Futures | Sugar vs. Micro Silver 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 File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
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