Corn Futures Correlations

ZCUSX Commodity

427.25 4.25 1.00%

The current 90-days correlation between Corn Futures and Five Year Treasury Note is -0.2 (i.e., Good diversification). The correlation of Corn Futures is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Corn Futures Correlation With Market

Significant diversification

The correlation between Corn Futures and DJI is 0.07 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Corn Futures and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to Corn Futures could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Corn Futures when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Corn Futures - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Corn Futures to buy it.

Moving together with Corn Commodity

0.71	AAPL	Apple Inc Earnings Call This Week	Pair Corr
0.87	GOOG	Alphabet Class C Earnings Call This Week	Pair Corr
0.76	AVGO	Broadcom	Pair Corr
0.77	WAY	Waystar Holding Corp	Pair Corr
0.64	PDS	Precision Drilling	Pair Corr
0.79	QCOM	Qualcomm Incorporated	Pair Corr
0.75	TERN	Terns Pharmaceuticals	Pair Corr
0.75	WCEO	Hypatia Women Ceo	Pair Corr
0.64	SETM	Sprott Energy Transition	Pair Corr
0.83	RNCCX	American Funds Income	Pair Corr

Moving against Corn Commodity

0.45

BMYMP

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Pair Corr

Related Correlations Analysis

	ZFUSD	CTUSX	KEUSX	ZTUSD	ZCUSX	ZRUSD	PLUSD	DCUSD
ZFUSD		-0.63	-0.6	0.97	0.69	-0.68	0.4	0.06	ZFUSD
CTUSX	-0.63		0.88	-0.68	-0.56	0.86	-0.82	0.51	CTUSX
KEUSX	-0.6	0.88		-0.68	-0.46	0.8	-0.81	0.49	KEUSX
ZTUSD	0.97	-0.68	-0.68		0.76	-0.76	0.53	0.0	ZTUSD
ZCUSX	0.69	-0.56	-0.46	0.76		-0.76	0.59	0.06	ZCUSX
ZRUSD	-0.68	0.86	0.8	-0.76	-0.76		-0.85	0.45	ZRUSD
PLUSD	0.4	-0.82	-0.81	0.53	0.59	-0.85		-0.59	PLUSD
DCUSD	0.06	0.51	0.49	0.0	0.06	0.45	-0.59		DCUSD
	ZFUSD	CTUSX	KEUSX	ZTUSD	ZCUSX	ZRUSD	PLUSD	DCUSD

Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

ZTUSD	+ 0.97	ZFUSD
KEUSX	+ 0.88	CTUSX
ZRUSD	+ 0.86	CTUSX
ZRUSD	+ 0.8	KEUSX
ZCUSX	+ 0.76	ZTUSD
ZCUSX	+ 0.69	ZFUSD

High negative correlations

PLUSD	- 0.85	ZRUSD
PLUSD	- 0.82	CTUSX
PLUSD	- 0.81	KEUSX
ZRUSD	- 0.76	ZCUSX
ZRUSD	- 0.76	ZTUSD
ZTUSD	- 0.68	KEUSX

Risk-Adjusted Indicators

There is a big difference between Corn Commodity performing well and Corn Futures Commodity doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Corn Futures' multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
ZFUSD	0.13	0.02	(0.25)	(0.13)	0.00	(0.15)	0.37	(0.24)	1.05
CTUSX	0.53	(0.12)	0.00	(1.55)	0.00	0.00	0.88	(1.13)	3.80
KEUSX	0.89	(0.09)	0.00	3.14	0.00	0.00	1.96	(1.43)	6.26
ZTUSD	0.07	0.00	(0.59)	(0.04)	0.00	(0.08)	0.17	(0.10)	0.71
ZCUSX	0.93	0.08	0.04	0.58	0.99	(1.03)	2.33	(1.42)	8.76
ZRUSD	0.92	(0.29)	0.00	(0.60)	0.00	0.00	1.82	(2.02)	5.64
PLUSD	1.81	0.18	0.04	(0.89)	2.73	(1.84)	3.98	(5.39)	13.68
DCUSD	0.54	(0.06)	0.00	2.93	0.00	0.00	1.19	(1.21)	9.13

Corn Futures Related Commodities

One prevalent trading approach among algorithmic traders in the commodities sector involves employing market-neutral strategies, wherein each trade is designed to hedge away specific risks. Given that this approach necessitates two distinct transactions, if one position underperforms unexpectedly, the other can potentially offset some of the losses. This method can be applied to commodities such as Corn Futures, pairing it with other commodities or financial instruments to create a balanced, market-neutral setup.

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Risk & Return

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