Pair Correlation Between Crude Oil and United States

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

Pair Volatility

Given the investment horizon of 30 days, Crude Oil is expected to generate 1.01 times less return on investment than United States. But when comparing it to its historical volatility, Crude Oil Strategy Proshares is 1.01 times less risky than United States. It trades about 0.1 of its potential returns per unit of risk. United States Oil is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest  1,017  in United States Oil on September 17, 2017 and sell it today you would earn a total of  29  from holding United States Oil or generate 2.85% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Crude Oil 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 Crude Oil Strategy Proshares 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 Crude Oil 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 Crude Oil Strategy Proshares 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 Crude Oil i.e. Crude Oil and United States go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

Crude Oil Strategy

  
6 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Crude Oil Strategy Proshares are ranked lower than 6 (%) of all global equities and portfolios over the last 30 days.

United States Oil

  
6 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in United States Oil are ranked lower than 6 (%) of all global equities and portfolios over the last 30 days.