Pair Correlation Between UBS ETRACS and United States

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

Pair Volatility

Considering 30-days investment horizon, UBS ETRACS CMCI Energy Total Return ETN is expected to generate 2.48 times more return on investment than United States. However, UBS ETRACS is 2.48 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 0.07 per unit of risk. If you would invest  655  in UBS ETRACS CMCI Energy Total Return ETN on September 22, 2017 and sell it today you would earn a total of  55  from holding UBS ETRACS CMCI Energy Total Return ETN or generate 8.4% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between UBS ETRACS and United States
-0.08

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy42.86%
ValuesDaily Returns

Diversification

Good diversification

Overlapping area represents the amount of risk that can be diversified away by holding UBS ETRACS CMCI Energy Total R 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 UBS ETRACS 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 UBS ETRACS CMCI Energy Total Return 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 UBS ETRACS i.e. UBS ETRACS and United States go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

United States Oil

  
4 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in United States Oil are ranked lower than 4 (%) of all global equities and portfolios over the last 30 days.