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.
 Time 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 Strategy Proshares is expected to generate 1.02 times more return on investment than United States. However, Crude Oil is 1.02 times more volatile than United States Oil. It trades about -0.08 of its potential returns per unit of risk. United States Oil is currently generating about -0.1 per unit of risk. If you would invest  2,342  in Crude Oil Strategy Proshares on January 24, 2018 and sell it today you would lose (72.00)  from holding Crude Oil Strategy Proshares or give up 3.07% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Crude Oil and United States
0.88

Parameters

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

Diversification

Very poor diversification

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

  
0 

Risk-Adjusted Performance

Over the last 30 days Crude Oil Strategy Proshares 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.