Xtrackers Correlations

XYPD Etf

EUR 147.82 0.16 0.11%

The current 90-days correlation between Xtrackers II and iShares III Public is 0.3 (i.e., Weak diversification). The correlation of Xtrackers 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.

Xtrackers Correlation With Market

Very weak diversification

The correlation between Xtrackers II and DJI is 0.4 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Xtrackers II and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to Xtrackers could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Xtrackers when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Xtrackers - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Xtrackers II to buy it.

Moving together with Xtrackers Etf

0.96	X03F	db x trackers	Pair Corr
0.86	VGEA	Vanguard EUR Eurozone	Pair Corr
0.98	XY4P	Xtrackers II	Pair Corr
0.95	PRAR	Amundi Index Solutions	Pair Corr
0.96	SXRP	iShares VII Public	Pair Corr
0.75	SXRZ	iShares VII PLC	Pair Corr
0.66	GQ9	SPDR Gold Shares	Pair Corr
0.74	EXX7	iShares Nikkei 225	Pair Corr
0.77	IS3N	iShares Core MSCI	Pair Corr
0.78	IBC3	iShares Core MSCI	Pair Corr
0.72	XDWS	Xtrackers MSCI World	Pair Corr
0.73	DBX8	Xtrackers MSCI	Pair Corr
0.93	DBXR	Xtrackers II	Pair Corr
0.71	XDNY	Xtrackers MSCI Japan	Pair Corr
0.89	LYQ6	Multi Units Luxembourg	Pair Corr
0.85	EUN8	iShares Govt Bond	Pair Corr
0.64	XDWM	Xtrackers Public	Pair Corr
0.91	GSXG	Goldman Sachs Global	Pair Corr
0.62	DVDE	Franklin European Quality	Pair Corr
0.62	EXV4	iShares STOXX Europe	Pair Corr
0.76	PRAM	Amundi Prime Emerging	Pair Corr
0.75	H410	HSBC MSCI Emerging	Pair Corr

Moving against Xtrackers Etf

0.31	XJSE	Xtrackers II	Pair Corr
0.39	IUSP	iShares Emerging Markets	Pair Corr

Related Correlations Analysis

	X03F	10AL	VGEA	XYPD	XY4P	EGV5	PRAR	EUN9
X03F		0.53	0.89	0.96	0.94	0.37	0.98	0.04	X03F
10AL	0.53		0.57	0.46	0.44	0.61	0.53	-0.01	10AL
VGEA	0.89	0.57		0.86	0.86	0.43	0.91	0.01	VGEA
XYPD	0.96	0.46	0.86		0.98	0.17	0.95	-0.12	XYPD
XY4P	0.94	0.44	0.86	0.98		0.14	0.96	-0.11	XY4P
EGV5	0.37	0.61	0.43	0.17	0.14		0.37	0.57	EGV5
PRAR	0.98	0.53	0.91	0.95	0.96	0.37		0.08	PRAR
EUN9	0.04	-0.01	0.01	-0.12	-0.11	0.57	0.08		EUN9
	X03F	10AL	VGEA	XYPD	XY4P	EGV5	PRAR	EUN9

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

PRAR	+ 0.98	X03F
XY4P	+ 0.98	XYPD
XYPD	+ 0.96	X03F
PRAR	+ 0.96	XY4P
PRAR	+ 0.95	XYPD
XY4P	+ 0.94	X03F

High negative correlations

EUN9	- 0.12	XYPD
EUN9	- 0.11	XY4P
EUN9	- 0.01	10AL

Xtrackers Constituents Risk-Adjusted Indicators

There is a big difference between Xtrackers Etf performing well and Xtrackers 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 Xtrackers' 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
X03F	0.14	0.00	(0.28)	0.00	0.18	(0.13)	0.25	(0.31)	0.83
10AL	0.12	(0.01)	0.00	0.26	0.00	0.00	0.24	(0.29)	0.62
VGEA	0.12	0.00	(0.35)	0.04	0.12	(0.14)	0.29	(0.29)	0.63
XYPD	0.13	0.00	(0.29)	0.21	0.13	(0.13)	0.27	(0.29)	0.88
XY4P	0.14	0.01	(0.31)	(0.36)	0.12	(0.14)	0.28	(0.27)	0.69
EGV5	0.09	(0.03)	0.00	0.49	0.00	0.00	0.12	(0.16)	1.90
PRAR	0.13	0.00	(0.33)	0.17	0.10	(0.15)	0.28	(0.28)	0.67
EUN9	0.17	(0.01)	0.00	0.90	0.00	0.00	0.30	(0.51)	1.67

Be your own money manager

Our tools can tell you how much better you can do entering a position in Xtrackers without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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