IPath Series Correlations

VXZ Etf

USD 52.05 0.11 0.21%

The current 90-days correlation between iPath Series B and Simplify Volatility Premium is -0.12 (i.e., Good diversification). The correlation of IPath Series is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

IPath Series Correlation With Market

Good diversification

The correlation between iPath Series B and DJI is -0.1 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iPath Series B and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in iPath Series B. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in interest.

Moving together with IPath Etf

0.98	VXX	iPath Series B Sell-off Trend	Pair Corr
0.82	VIXY	ProShares VIX Short Sell-off Trend	Pair Corr
0.79	VIXM	ProShares VIX Mid	Pair Corr

Moving against IPath Etf

0.79	ROM	ProShares Ultra Tech	Pair Corr
0.79	QLD	ProShares Ultra QQQ	Pair Corr
0.77	TECL	Direxion Daily Technology	Pair Corr
0.76	SOXX	iShares Semiconductor ETF	Pair Corr
0.75	USD	ProShares Ultra Semi	Pair Corr
0.75	SMH	VanEck Semiconductor ETF	Pair Corr
0.73	FNGO	MicroSectors FANG Index	Pair Corr
0.72	FNGU	MicroSectors FANG Index	Pair Corr
0.59	YCS	ProShares UltraShort Yen	Pair Corr
0.51	VIIX	VIIX	Pair Corr
0.38	UUP	Invesco DB Dollar	Pair Corr
0.71	MSFT	Microsoft Aggressive Push	Pair Corr
0.69	HPQ	HP Inc Fiscal Year End 19th of November 2024	Pair Corr
0.61	DIS	Walt Disney Aggressive Push	Pair Corr
0.56	BAC	Bank of America Sell-off Trend	Pair Corr
0.37	DD	Dupont De Nemours Fiscal Year End 4th of February 2025	Pair Corr

Related Correlations Analysis

	SVOL	444859BR2	AQUI	BRRAY	MSTSX	ABHYX	LBHIX	VIASP	RRTLX	XTWO
SVOL		0.02	0.0	-0.1	0.64	-0.14	0.22	0.08	0.48	0.0	SVOL
444859BR2	0.02		0.0	-0.12	0.48	0.53	0.61	-0.2	0.5	0.6	444859BR2
AQUI	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	0.0	AQUI
BRRAY	-0.1	-0.12	0.0		-0.12	0.08	0.01	0.62	-0.06	0.11	BRRAY
MSTSX	0.64	0.48	0.0	-0.12		0.54	0.82	-0.11	0.93	0.67	MSTSX
ABHYX	-0.14	0.53	0.0	0.08	0.54		0.88	-0.2	0.65	0.96	ABHYX
LBHIX	0.22	0.61	0.0	0.01	0.82	0.88		-0.11	0.86	0.96	LBHIX
VIASP	0.08	-0.2	0.0	0.62	-0.11	-0.2	-0.11		-0.08	-0.11	VIASP
RRTLX	0.48	0.5	0.0	-0.06	0.93	0.65	0.86	-0.08		0.75	RRTLX
XTWO	0.0	0.6	0.0	0.11	0.67	0.96	0.96	-0.11	0.75		XTWO
	SVOL	444859BR2	AQUI	BRRAY	MSTSX	ABHYX	LBHIX	VIASP	RRTLX	XTWO

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

XTWO	+ 0.96	ABHYX
XTWO	+ 0.96	LBHIX
RRTLX	+ 0.93	MSTSX
LBHIX	+ 0.88	ABHYX
RRTLX	+ 0.86	LBHIX
LBHIX	+ 0.82	MSTSX

High negative correlations

VIASP	- 0.2	ABHYX
VIASP	- 0.2	444859BR2
ABHYX	- 0.14	SVOL
MSTSX	- 0.12	BRRAY
BRRAY	- 0.12	444859BR2
XTWO	- 0.11	VIASP

IPath Series Constituents Risk-Adjusted Indicators

There is a big difference between IPath Etf performing well and IPath Series ETF doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze IPath Series' multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
SVOL	0.69	(0.07)	(0.04)	0.03	1.50	(0.62)	1.25	(1.47)	7.00
444859BR2	0.69	0.04	(0.04)	(0.23)	1.54	(0.63)	1.17	(0.93)	8.07
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BRRAY	0.87	(0.05)	0.00	0.19	0.00	0.00	0.86	0.00	22.74
MSTSX	0.57	0.00	(0.02)	0.09	0.67	(0.67)	1.18	(1.22)	4.07
ABHYX	0.14	0.06	(0.17)	(0.39)	0.00	(0.23)	0.45	(0.33)	1.34
LBHIX	0.16	0.04	(0.11)	0.48	0.00	(0.32)	0.47	(0.24)	1.44
VIASP	1.58	(0.07)	0.00	(0.22)	0.00	0.00	3.41	(4.97)	13.57
RRTLX	0.29	0.05	(0.10)	(4.79)	0.29	(0.34)	0.66	(0.64)	1.97
XTWO	0.09	0.04	(0.55)	(1.06)	0.00	(0.12)	0.22	(0.12)	0.65

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