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
iPath SP GSCI Crude Oil TR ETN vs United States Oil
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.
|Time Period||1 Month [change]|
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.
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.
Over the last 30 days United States Oil has generated negative risk-adjusted returns adding no value to investors with long positions.