Correlation Analysis Between ETFS Wheat and H M

This module allows you to analyze existing cross correlation between ETFS Wheat ETC and H M Hennes Mauritz AB. You can compare the effects of market volatilities on ETFS Wheat and H M 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 ETFS Wheat with a short position of H M. See also your portfolio center. Please also check ongoing floating volatility patterns of ETFS Wheat and H M.
 Time Horizon     30 Days    Login   to change
Symbolsvs

ETFS Commodity Securities Ltd   vs.  Hennes Mauritz AB 0HBP

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, ETFS Wheat ETC is expected to generate 1.94 times more return on investment than H M. However, ETFS Wheat is 1.94 times more volatile than H M Hennes Mauritz AB. It trades about 0.15 of its potential returns per unit of risk. H M Hennes Mauritz AB is currently generating about -0.33 per unit of risk. If you would invest  66.45  in ETFS Wheat ETC on July 21, 2018 and sell it today you would earn a total of  4.35  from holding ETFS Wheat ETC or generate 6.55% return on investment over 30 days.

Pair Corralation between ETFS Wheat and H M

-0.36
Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding ETFS Commodity Securities Ltd and Hennes Mauritz AB 0HBP in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Hennes Mauritz AB and ETFS Wheat 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 ETFS Wheat ETC are associated (or correlated) with H M. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Hennes Mauritz AB has no effect on the direction of ETFS Wheat i.e. ETFS Wheat and H M go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 
ETFS Commodity Secur  
9 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in ETFS Wheat ETC are ranked lower than 9 (%) of all global equities and portfolios over the last 30 days.
Hennes Mauritz AB  
0 

Risk-Adjusted Performance

Over the last 30 days H M Hennes Mauritz AB has generated negative risk-adjusted returns adding no value to investors with long positions.

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See also your portfolio center. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.