Pair Correlation Between ETFS Commodity and Exxon Mobil

This module allows you to analyze existing cross correlation between ETFS Commodity Securities Limited ETFS Wheat and Exxon Mobil Corp 0R1M. You can compare the effects of market volatilities on ETFS Commodity and Exxon Mobil 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 Exxon Mobil. See also your portfolio center. Please also check ongoing floating volatility patterns of ETFS Commodity and Exxon Mobil.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 ETFS Commodity Securities Limi  vs   Exxon Mobil Corp 0R1M
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, ETFS Commodity Securities Limited ETFS Wheat is expected to generate 0.49 times more return on investment than Exxon Mobil. However, ETFS Commodity Securities Limited ETFS Wheat is 2.04 times less risky than Exxon Mobil. It trades about 0.35 of its potential returns per unit of risk. Exxon Mobil Corp 0R1M is currently generating about -0.22 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 Exxon Mobil
-0.67

Parameters

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

Diversification

Excellent diversification

Overlapping area represents the amount of risk that can be diversified away by holding ETFS Commodity Securities Limi and Exxon Mobil Corp 0R1M in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Exxon Mobil Corp 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 Exxon Mobil. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Exxon Mobil Corp has no effect on the direction of ETFS Commodity i.e. ETFS Commodity and Exxon Mobil 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.

Exxon Mobil Corp

  
0 

Risk-Adjusted Performance

Over the last 30 days Exxon Mobil Corp 0R1M has generated negative risk-adjusted returns adding no value to investors with long positions.