Correlation Analysis Between ETFS Wheat and Exxon Mobil

This module allows you to analyze existing cross correlation between ETFS Wheat ETC and Exxon Mobil Corp 0R1M. You can compare the effects of market volatilities on ETFS Wheat 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 Wheat with a short position of Exxon Mobil. See also your portfolio center. Please also check ongoing floating volatility patterns of ETFS Wheat and Exxon Mobil.
 Time Horizon     30 Days    Login   to change
Symbolsvs

ETFS Commodity Securities Ltd   vs.  Exxon Mobil Corp 0R1M

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, ETFS Wheat ETC is expected to generate 1.33 times more return on investment than Exxon Mobil. However, ETFS Wheat is 1.33 times more volatile than Exxon Mobil Corp 0R1M. It trades about 0.23 of its potential returns per unit of risk. Exxon Mobil Corp 0R1M is currently generating about 0.12 per unit of risk. If you would invest  65.30  in ETFS Wheat ETC on April 25, 2018 and sell it today you would earn a total of  6.30  from holding ETFS Wheat ETC or generate 9.65% return on investment over 30 days.

Pair Corralation between ETFS Wheat and Exxon Mobil

-0.39
Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy95.65%
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 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 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 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 Wheat i.e. ETFS Wheat and Exxon Mobil go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 
ETFS Commodity Secur  
15 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in ETFS Wheat ETC are ranked lower than 15 (%) of all global equities and portfolios over the last 30 days.
Exxon Mobil Corp  
7 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Exxon Mobil Corp 0R1M are ranked lower than 7 (%) of all global equities and portfolios over the last 30 days.

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See also your portfolio center. Please also try Volatility Analysis module to get historical volatility and risk analysis based on latest market data.