Pair Correlation Between ETFS Bloomberg and PowerShares DB

This module allows you to analyze existing cross correlation between ETFS Bloomberg All Commodity Strategy K-1 Free and PowerShares DB Commodity Tracking ETF. You can compare the effects of market volatilities on ETFS Bloomberg and PowerShares DB 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 DB. See also your portfolio center. Please also check ongoing floating volatility patterns of ETFS Bloomberg and PowerShares DB.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 ETFS Bloomberg All Commodity S  vs   PowerShares DB Commodity Track
 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, ETFS Bloomberg is expected to generate 1.14 times less return on investment than PowerShares DB. But when comparing it to its historical volatility, ETFS Bloomberg All Commodity Strategy K-1 Free is 1.03 times less risky than PowerShares DB. It trades about 0.45 of its potential returns per unit of risk. PowerShares DB Commodity Tracking ETF is currently generating about 0.5 of returns per unit of risk over similar time horizon. If you would invest  1,620  in PowerShares DB Commodity Tracking ETF on December 22, 2017 and sell it today you would earn a total of  68  from holding PowerShares DB Commodity Tracking ETF or generate 4.2% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between ETFS Bloomberg and PowerShares DB
0.98

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding ETFS Bloomberg All Commodity S 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 Commodity Strategy K-1 Free are associated (or correlated) with PowerShares DB. 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 DB go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

ETFS Bloomberg All

  
29 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in ETFS Bloomberg All Commodity Strategy K-1 Free are ranked lower than 29 (%) of all global equities and portfolios over the last 30 days.

PowerShares DB Commo

  
32 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in PowerShares DB Commodity Tracking ETF are ranked lower than 32 (%) of all global equities and portfolios over the last 30 days.