Correlation Analysis Between iPath Pure and PowerShares

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

iPath Pure Beta Broad Commodit  vs.  PowerShares DB Commodity Track

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, iPath Pure is expected to generate 1.01 times less return on investment than PowerShares. But when comparing it to its historical volatility, iPath Pure Beta Broad Commodity ETN is 1.01 times less risky than PowerShares. It trades about 0.2 of its potential returns per unit of risk. PowerShares DB Commodity Tracking ETF is currently generating about 0.2 of returns per unit of risk over similar time horizon. If you would invest  1,718  in PowerShares DB Commodity Tracking ETF on September 15, 2018 and sell it today you would earn a total of  71.00  from holding PowerShares DB Commodity Tracking ETF or generate 4.13% return on investment over 30 days.

Pair Corralation between iPath Pure and PowerShares

0.96
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 iPath Pure Beta Broad Commodit 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 iPath Pure 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 iPath Pure Beta Broad Commodity ETN 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 iPath Pure i.e. iPath Pure and PowerShares go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 
iPath Pure Beta  
13 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in iPath Pure Beta Broad Commodity ETN are ranked lower than 13 (%) of all global equities and portfolios over the last 30 days.
PowerShares DB Commo  
13 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in PowerShares DB Commodity Tracking ETF are ranked lower than 13 (%) of all global equities and portfolios over the last 30 days.

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