Correlation Analysis Between ETFS Bloomberg and PowerShares

This module allows you to analyze existing cross correlation between ETFS Bloomberg All Commodity Strt K 1 Fr 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
Compare Efficiency

Comparative Performance

ETFS Bloomberg All  
0

Risk-Adjusted Performance

Over the last 30 days ETFS Bloomberg All Commodity Strt K 1 Fr has generated negative risk-adjusted returns adding no value to investors with long positions.
PowerShares DB Commo  
0

Risk-Adjusted Performance

Over the last 30 days PowerShares DB Commodity Tracking ETF has generated negative risk-adjusted returns adding no value to investors with long positions.

ETFS Bloomberg and PowerShares Volatility Contrast

 Predicted Return Density 
      Returns 

ETFS Bloomberg All Commodity S  vs.  PowerShares DB Commodity Track

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, ETFS Bloomberg All Commodity Strt K 1 Fr is expected to generate 0.65 times more return on investment than PowerShares. However, ETFS Bloomberg All Commodity Strt K 1 Fr is 1.54 times less risky than PowerShares. It trades about -0.13 of its potential returns per unit of risk. PowerShares DB Commodity Tracking ETF is currently generating about -0.11 per unit of risk. If you would invest  2,356  in ETFS Bloomberg All Commodity Strt K 1 Fr on December 17, 2018 and sell it today you would lose (120.00)  from holding ETFS Bloomberg All Commodity Strt K 1 Fr or give up 5.09% of portfolio value over 30 days.

Pair Corralation between ETFS Bloomberg and PowerShares

0.12
Time Period2 Months [change]
DirectionPositive 
StrengthInsignificant
Accuracy80.85%
ValuesDaily Returns

Diversification Opportunities for ETFS Bloomberg and PowerShares

ETFS Bloomberg All Commodity S diversification synergy

Average 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 Strt K 1 Fr 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.

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