IShares GSCI Correlations

COMT Etf

USD 26.50 0.16 0.60%

The current 90-days correlation between iShares GSCI Commodity and Innovator SP 500 is 0.36 (i.e., Weak diversification). The correlation of IShares GSCI 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.

IShares GSCI Correlation With Market

Average diversification

The correlation between iShares GSCI Commodity and DJI is 0.14 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares GSCI Commodity and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with IShares Etf

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in iShares GSCI Commodity. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in industry.

Moving together with IShares Etf

0.8	PDBC	Invesco Optimum Yield	Pair Corr
0.79	DBC	Invesco DB Commodity	Pair Corr
0.94	GSG	iShares SP GSCI Potential Growth	Pair Corr

Moving against IShares Etf

0.43	VXX	iPath Series B	Pair Corr
0.42	VIXY	ProShares VIX Short Sell-off Trend	Pair Corr

Related Correlations Analysis

	PMAR	QJUN	INDY	BUFZ	GSPY	VUSE	QLC	JHEM	AOK	HEZU
PMAR		0.95	0.39	0.99	0.93	0.21	0.98	0.76	0.88	0.85	PMAR
QJUN	0.95		0.34	0.94	0.98	0.37	0.95	0.79	0.88	0.83	QJUN
INDY	0.39	0.34		0.41	0.35	-0.33	0.41	0.66	0.59	0.4	INDY
BUFZ	0.99	0.94	0.41		0.92	0.2	0.98	0.74	0.88	0.83	BUFZ
GSPY	0.93	0.98	0.35	0.92		0.41	0.94	0.8	0.89	0.82	GSPY
VUSE	0.21	0.37	-0.33	0.2	0.41		0.17	0.02	0.2	0.09	VUSE
QLC	0.98	0.95	0.41	0.98	0.94	0.17		0.79	0.88	0.83	QLC
JHEM	0.76	0.79	0.66	0.74	0.8	0.02	0.79		0.87	0.84	JHEM
AOK	0.88	0.88	0.59	0.88	0.89	0.2	0.88	0.87		0.89	AOK
HEZU	0.85	0.83	0.4	0.83	0.82	0.09	0.83	0.84	0.89		HEZU
	PMAR	QJUN	INDY	BUFZ	GSPY	VUSE	QLC	JHEM	AOK	HEZU

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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

BUFZ	+ 0.99	PMAR
QLC	+ 0.98	PMAR
GSPY	+ 0.98	QJUN
QLC	+ 0.98	BUFZ
QJUN	+ 0.95	PMAR
QLC	+ 0.95	QJUN

High negative correlations

VUSE

- 0.33

INDY

IShares GSCI Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares GSCI 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 IShares GSCI's 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
PMAR	0.19	0.00	(0.12)	0.08	0.26	(0.18)	0.48	(0.46)	1.30
QJUN	0.34	0.00	(0.07)	0.06	0.49	(0.33)	0.77	(0.85)	2.22
INDY	0.51	(0.01)	(0.11)	0.01	0.60	(0.54)	1.04	(0.87)	3.28
BUFZ	0.19	0.00	(0.15)	0.08	0.16	(0.22)	0.50	(0.42)	1.16
GSPY	0.60	(0.01)	(0.01)	0.06	1.05	(0.54)	1.45	(1.16)	5.07
VUSE	0.61	(0.07)	(0.08)	(0.01)	0.96	(0.50)	1.18	(1.42)	3.44
QLC	0.55	0.02	0.01	0.09	0.78	(0.54)	1.20	(1.11)	3.46
JHEM	0.64	0.00	(0.02)	0.07	0.86	(0.67)	1.42	(1.33)	4.50
AOK	0.23	(0.01)	(0.16)	0.03	0.29	(0.25)	0.48	(0.44)	1.72
HEZU	0.53	0.03	0.02	0.11	0.58	(0.56)	1.19	(1.20)	3.18

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