Pair Correlation Between ETFS Commodity and H M

This module allows you to analyze existing cross correlation between ETFS Commodity Securities Limited ETFS Wheat and H M Hennes Mauritz AB. You can compare the effects of market volatilities on ETFS Commodity 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 Commodity with a short position of H M. See also your portfolio center. Please also check ongoing floating volatility patterns of ETFS Commodity and H M.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 ETFS Commodity Securities Limi  vs   Hennes Mauritz AB 0HBP
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, ETFS Commodity Securities Limited ETFS Wheat is expected to generate 0.41 times more return on investment than H M. However, ETFS Commodity Securities Limited ETFS Wheat is 2.46 times less risky than H M. It trades about 0.35 of its potential returns per unit of risk. H M Hennes Mauritz AB is currently generating about -0.2 per unit of risk. If you would invest  59.30  in ETFS Commodity Securities Limited ETFS Wheat on January 18, 2018 and sell it today you would earn a total of  5.00  from holding ETFS Commodity Securities Limited ETFS Wheat or generate 8.43% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between ETFS Commodity and H M
-0.77

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification

Pay attention

Overlapping area represents the amount of risk that can be diversified away by holding ETFS Commodity Securities Limi 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 Commodity 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 Commodity Securities Limited ETFS Wheat 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 Commodity i.e. ETFS Commodity and H M go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

ETFS Commodity Secur

  
23 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in ETFS Commodity Securities Limited ETFS Wheat are ranked lower than 23 (%) 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.