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
Compare Efficiency

Comparative Performance

iPath Pure Beta  
0

Risk-Adjusted Performance

Over the last 30 days iPath Pure Beta Broad Commodity ETN 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.

iPath Pure and PowerShares Volatility Contrast

 Predicted Return Density 
      Returns 

iPath Pure Beta Broad Commodit  vs.  PowerShares DB Commodity Track

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, iPath Pure Beta Broad Commodity ETN is expected to generate 1.32 times more return on investment than PowerShares. However, iPath Pure is 1.32 times more volatile than PowerShares DB Commodity Tracking ETF. It trades about -0.05 of its potential returns per unit of risk. PowerShares DB Commodity Tracking ETF is currently generating about -0.08 per unit of risk. If you would invest  2,778  in iPath Pure Beta Broad Commodity ETN on December 19, 2018 and sell it today you would lose (109.36)  from holding iPath Pure Beta Broad Commodity ETN or give up 3.94% of portfolio value over 30 days.

Pair Corralation between iPath Pure and PowerShares

0.8
Time Period2 Months [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for iPath Pure and PowerShares

iPath Pure Beta Broad Commodit diversification synergy

Very poor 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.

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