Correlation Analysis Between ETFS Bloomberg and PowerShares

This module allows you to analyze existing cross correlation between ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr and PowerShares DB Commodity Tracking ETF. You can compare the effects of market volatilities on ETFS Bloomberg and PowerShares 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 ETFS Bloomberg with a short position of PowerShares. See also your portfolio center. Please also check ongoing floating volatility patterns of ETFS Bloomberg and PowerShares.
Horizon     30 Days    Login   to change
Symbolsvs

ETFS Bloomberg All CmdtyLngrDt  vs.  PowerShares DB Commodity Track

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr is expected to under-perform the PowerShares. But the etf apears to be less risky and, when comparing its historical volatility, ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr is 2.6 times less risky than PowerShares. The etf trades about -0.18 of its potential returns per unit of risk. The PowerShares DB Commodity Tracking ETF is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest  1,684  in PowerShares DB Commodity Tracking ETF on August 20, 2018 and sell it today you would earn a total of  50.00  from holding PowerShares DB Commodity Tracking ETF or generate 2.97% return on investment over 30 days.

Pair Corralation between ETFS Bloomberg and PowerShares

0.17
Time Period1 Month [change]
DirectionPositive 
StrengthInsignificant
Accuracy90.48%
ValuesDaily Returns

Diversification

Average diversification

Overlapping area represents the amount of risk that can be diversified away by holding ETFS Bloomberg All CmdtyLngrDt and PowerShares DB Commodity Track in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on PowerShares DB Commo and ETFS Bloomberg 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 ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr are associated (or correlated) with PowerShares. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PowerShares DB Commo has no effect on the direction of ETFS Bloomberg i.e. ETFS Bloomberg and PowerShares go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 
ETFS Bloomberg All  
0 

Risk-Adjusted Performance

Over the last 30 days ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr has generated negative risk-adjusted returns adding no value to investors with long positions.
PowerShares DB Commo  
14 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in PowerShares DB Commodity Tracking ETF are ranked lower than 14 (%) of all global equities and portfolios over the last 30 days.

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