Correlation Analysis Between iPath B and United States

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

iPath B SP GSCI Crude Oil TR E  vs.  United States Oil

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, iPath B SP GSCI Crude Oil TR ETN is expected to generate 1.02 times more return on investment than United States. However, iPath B is 1.02 times more volatile than United States Oil. It trades about -0.27 of its potential returns per unit of risk. United States Oil is currently generating about -0.29 per unit of risk. If you would invest  7,218  in iPath B SP GSCI Crude Oil TR ETN on May 20, 2018 and sell it today you would lose (663.00)  from holding iPath B SP GSCI Crude Oil TR ETN or give up 9.19% of portfolio value over 30 days.

Pair Corralation between iPath B and United States

1.0
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 B SP GSCI Crude Oil TR E 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 B 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 B 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 B i.e. iPath B and United States go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 
iPath B SP  
0 

Risk-Adjusted Performance

Over the last 30 days iPath B 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.

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