Coffee Correlations

KCUSX Commodity

296.05 22.00 6.92%

The current 90-days correlation between Coffee and 2 Year T Note Futures is -0.07 (i.e., Good diversification). The correlation of Coffee 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.

Coffee Correlation With Market

Average diversification

The correlation between Coffee and DJI is 0.13 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Coffee and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to Coffee could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Coffee 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 Coffee - 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 Coffee to buy it.

Moving together with Coffee Commodity

0.68	AMZN	Amazon Inc Aggressive Push	Pair Corr
0.68	BMYMP	Bristol Myers Squibb	Pair Corr
0.8	TSLA	Tesla Inc Aggressive Push	Pair Corr
0.71	T	ATT Inc Aggressive Push	Pair Corr
0.65	OMIC	Singular Genomics Systems	Pair Corr
0.81	DECK	Deckers Outdoor	Pair Corr
0.78	PLTR	Palantir Technologies Aggressive Push	Pair Corr
0.75	FTNT	Fortinet	Pair Corr
0.67	KMI	Kinder Morgan Sell-off Trend	Pair Corr
0.62	HA	Hawaiian Holdings	Pair Corr
0.76	MSTR	MicroStrategy Incorporated Buyout Trend	Pair Corr
0.83	OPFI	OppFi Inc	Pair Corr
0.77	VB	Vanguard Small Cap	Pair Corr
0.69	EOS	Eaton Vance Enhanced	Pair Corr
0.65	VFIAX	Vanguard 500 Index	Pair Corr
0.61	CII	Blackrock Enhanced	Pair Corr
0.62	BDJ	Blackrock Enhanced Equity	Pair Corr
0.65	VFINX	Vanguard 500 Index	Pair Corr

Related Correlations Analysis

	ZTUSD	HOUSD	CLUSD	ALIUSD	ZCUSX	SIUSD	OJUSX	BZUSD	NGUSD	ZFUSD
ZTUSD		-0.5	0.09	-0.47	-0.52	-0.11	-0.04	-0.06	-0.54	0.98	ZTUSD
HOUSD	-0.5		0.77	0.55	0.54	0.26	-0.3	0.85	0.38	-0.53	HOUSD
CLUSD	0.09	0.77		0.26	0.15	0.25	-0.33	0.97	-0.09	0.05	CLUSD
ALIUSD	-0.47	0.55	0.26		0.49	0.74	-0.49	0.37	0.56	-0.57	ALIUSD
ZCUSX	-0.52	0.54	0.15	0.49		0.01	-0.16	0.26	0.73	-0.54	ZCUSX
SIUSD	-0.11	0.26	0.25	0.74	0.01		-0.54	0.3	0.05	-0.24	SIUSD
OJUSX	-0.04	-0.3	-0.33	-0.49	-0.16	-0.54		-0.33	-0.07	0.08	OJUSX
BZUSD	-0.06	0.85	0.97	0.37	0.26	0.3	-0.33		0.01	-0.09	BZUSD
NGUSD	-0.54	0.38	-0.09	0.56	0.73	0.05	-0.07	0.01		-0.57	NGUSD
ZFUSD	0.98	-0.53	0.05	-0.57	-0.54	-0.24	0.08	-0.09	-0.57		ZFUSD
	ZTUSD	HOUSD	CLUSD	ALIUSD	ZCUSX	SIUSD	OJUSX	BZUSD	NGUSD	ZFUSD

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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

ZFUSD	+ 0.98	ZTUSD
BZUSD	+ 0.97	CLUSD
BZUSD	+ 0.85	HOUSD
CLUSD	+ 0.77	HOUSD
SIUSD	+ 0.74	ALIUSD
NGUSD	+ 0.73	ZCUSX

High negative correlations

ZFUSD	- 0.57	NGUSD
ZFUSD	- 0.57	ALIUSD
OJUSX	- 0.54	SIUSD
ZFUSD	- 0.54	ZCUSX
NGUSD	- 0.54	ZTUSD
ZFUSD	- 0.53	HOUSD

Risk-Adjusted Indicators

There is a big difference between Coffee Commodity performing well and Coffee 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 Coffee's 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
ZTUSD	0.08	(0.02)	0.00	(3.96)	0.00	0.00	0.16	(0.15)	0.85
HOUSD	1.42	0.00	(0.05)	0.07	1.83	(1.58)	3.07	(3.52)	9.93
CLUSD	1.67	(0.01)	(0.04)	0.03	2.38	(1.64)	3.19	(4.31)	11.28
ALIUSD	1.32	0.17	0.06	1.00	1.33	(1.60)	3.44	(2.48)	7.64
ZCUSX	0.84	0.06	(0.03)	0.58	0.85	(0.93)	1.79	(1.70)	4.73
SIUSD	1.47	0.20	0.04	(2.17)	1.85	(1.58)	3.19	(3.51)	9.02
OJUSX	1.85	0.00	(0.04)	(0.04)	2.64	(1.71)	3.32	(4.03)	10.39
BZUSD	1.55	(0.03)	(0.05)	(0.01)	2.15	(1.56)	3.15	(3.55)	10.98
NGUSD	3.60	0.53	0.12	0.84	3.75	(4.20)	7.67	(6.29)	31.59
ZFUSD	0.17	(0.04)	0.00	(1.17)	0.00	0.00	0.30	(0.35)	1.13

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