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Best seasonality correlations of 2017

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In the following slides we will show the statistics which is the best seasonality period which closely match current year performance of more than 50 assets mainly futures plus one Crypto currency.

Data compiled as of 19.Dec.2017

https://www.mycloudquant.com, https;//app.mycloudquant.com

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Best seasonality correlations of 2017

  1. 1. BEST SEASONALITY CORRELATIONS OF 2017 My Cloud Quant Ltd. Just statistics No guarantees www.mycloudquant.com
  2. 2. In the following slides we will show the statistics which is the best seasonality period which closely match current year performance of more than 50 assets mainly futures plus one Crypto currency. www.mycloudquant.com
  3. 3. www.mycloudquant.com Currencies Asset name From Year To Year # of years Correlation vs YTD Asset Class Mexican Peso 1999 2008 10 94.11% Currencies US Dollar Index 2001 2011 11 89.50% Currencies British Pound GBP 1985 2016 32 88.53% Currencies Euro FX 2001 2009 9 86.51% Currencies Canadian Dollar CAD 1980 1995 16 78.27% Currencies Australian Dollar AUD 1990 1995 6 69.56% Currencies Swiss Franc CHF 2006 2016 11 61.04% Currencies Japanese Yen JPY 1993 1996 4 58.85% Currencies New Zealand Dollar NZD 2011 2014 4 42.04% Currencies
  4. 4. www.mycloudquant.com Energy Asset name From Year To Year # of years Correlation vs YTD Asset Class Natural Gas 2005 2015 11 83.70% Energy Heating Oil 1988 1991 4 75.16% Energy Brent Crude Oil 1995 1998 4 52.26% Energy UK Natural Gas 2009 2014 6 36.35% Energy WTI Crude Oil 2009 2012 4 34.06% Energy Gasoline 2010 2013 4 25.88% Energy
  5. 5. www.mycloudquant.com Indexes Asset name From Year To Year # of years Correlation vs YTD Asset Class S&P 500 Index 1992 1998 7 96.36% Indexes S&P 500 Index E-Mini 2012 2015 4 95.37% Indexes NASDAQ 100 Index Mini 2003 2016 14 95.20% Indexes Russell 1000 Index Mini 2009 2016 8 94.79% Indexes Dow Jones Index E-mini 2009 2016 8 93.19% Indexes VIX 2009 2016 8 92.70% Indexes S&P 400 Midcap Index 2003 2007 5 90.80% Indexes Russell 2000 Index Mini 2009 2014 6 85.50% Indexes EURO STOXX 50 2005 2015 11 83.69% Indexes DAX 2004 2016 13 83.23% Indexes FTSE 100 Index 1990 1997 8 80.32% Indexes Nikkei 225 2003 2006 4 78.60% Indexes Montreal S&P/TSX 60 Index 2002 2006 5 72.61% Indexes
  6. 6. www.mycloudquant.com Precious Metals Asset name From Year To Year # of years Correlation vs YTD Asset Class Platinum 1980 1990 11 79% Precious Metals Silver 2011 2015 5 74% Precious Metals Gold 2009 2016 8 70% Precious Metals
  7. 7. www.mycloudquant.com Metals Asset name From Year To Year # of years Correlation vs YTD Asset Class Palladium 2009 2014 6 91.57% Metals Copper 2009 2014 6 86.64% Metals Zinc 2009 2016 8 79.95% Metals
  8. 8. www.mycloudquant.com Soft Commodities Asset name From Year To Year # of years Correlation vs YTD Asset Class Sugar No. 11 1975 1979 5 93% Soft Coffee C 2000 2013 14 88% Soft Orange Juice 1994 2007 14 71% Soft London Cocoa 2003 2006 4 66% Soft Cocoa 1991 1998 8 60% Soft Cotton 1977 1986 10 47% Soft
  9. 9. www.mycloudquant.com Grains Asset name From Year To Year # of years Correlation vs YTD Asset Class Corn 1974 2008 35 89% Grains Wheat 1976 1984 9 75% Grains Soybean Meal 1979 1982 4 72% Grains Kansas City Wheat 2008 2016 9 68% Grains Soybeans 1979 1982 4 68% Grains Rough Rice 1995 1998 4 57% Grains Oats 2005 2013 9 51% Grains Soybean Oil 1980 1983 4 43% Grains
  10. 10. www.mycloudquant.com Interest rates Asset name From Year To Year # of years Correlation vs YTD Asset Class 30-year US Treasury Bond 2010 2014 5 83% Interest rates Euro-Bund 1998 2003 6 74% Interest rates Eurodollar 2003 2006 4 68% Interest rates 10-year US Treasury Note 2011 2016 6 67% Interest rates 5-year US Treasury Note 2011 2016 6 45% Interest rates Long Gilt 2010 2013 4 44% Interest rates 2-year US Treasury Note 2012 2016 5 -3% Interest rates
  11. 11. www.mycloudquant.com Crypto Currencies Asset name From Year To Year # of years Correlation vs YTD Asset Class Bitcoin 2012 2016 5 87% CryptoCurrencies
  12. 12. DISCLAIMER  www.mycloudquant.com The analysis is made using continuous futures contracts Backward adjusted on interest switch data for all assets except Bitcoin which is spot price. This analysis is for information purposes only.

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