Correlation Analysis 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.
 Time 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 generate 177.36 times more return on investment than United States. However, iPath SP is 177.36 times more volatile than United States Oil. It trades about 0.19 of its potential returns per unit of risk. United States Oil is currently generating about 0.02 per unit of risk. If you would invest  169,404  in iPath SP GSCI Crude Oil TR ETN on July 17, 2018 and sell it today you would lose (168,643)  from holding iPath SP GSCI Crude Oil TR ETN or give up 99.55% of portfolio value over 30 days.

Pair Corralation between iPath SP and United States

0.34
Time Period1 Month [change]
DirectionPositive 
StrengthVery Weak
Accuracy95.65%
ValuesDaily Returns

Diversification

Weak diversification

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  
12 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in iPath SP GSCI Crude Oil TR ETN are ranked lower than 12 (%) of all global equities and portfolios over the last 30 days.
United States Oil  
1 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in United States Oil are ranked lower than 1 (%) of all global equities and portfolios over the last 30 days.

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