Pair Correlation Between iPath SP and United States

This module allows you to analyze existing cross correlation between iPath SP GSCI Crude Oil TR ETN and United States Oil. You can compare the effects of market volatilities on iPath SP and United States 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 SP with a short position of United States. See also your portfolio center. Please also check ongoing floating volatility patterns of iPath SP and United States.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 iPath SP GSCI Crude Oil TR ETN  vs   United States Oil
 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, iPath SP GSCI Crude Oil TR ETN is expected to under-perform the United States. In addition to that, iPath SP is 1.33 times more volatile than United States Oil. It trades about -0.04 of its total potential returns per unit of risk. United States Oil is currently generating about -0.04 per unit of volatility. If you would invest  1,055  in United States Oil on September 23, 2017 and sell it today you would lose (14)  from holding United States Oil or give up 1.33% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between iPath SP and United States
1.0

Parameters

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

Diversification

No risk reduction

Overlapping area represents the amount of risk that can be diversified away by holding iPath SP GSCI Crude Oil TR ETN and United States Oil in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on United States Oil and iPath SP 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 SP GSCI Crude Oil TR ETN are associated (or correlated) with United States. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of United States Oil has no effect on the direction of iPath SP i.e. iPath SP and United States go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

iPath SP GSCI

  
0 

Risk-Adjusted Performance

Over the last 30 days iPath SP GSCI Crude Oil TR ETN has generated negative risk-adjusted returns adding no value to investors with long positions.

United States Oil

  
0 

Risk-Adjusted Performance

Over the last 30 days United States Oil has generated negative risk-adjusted returns adding no value to investors with long positions.