Correlation Between IShares GSCI and Invesco DB
Can any of the company-specific risk be diversified away by investing in both IShares GSCI and Invesco DB at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining IShares GSCI and Invesco DB into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares GSCI Commodity and Invesco DB Commodity, you can compare the effects of market volatilities on IShares GSCI and Invesco DB 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 IShares GSCI with a short position of Invesco DB. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares GSCI and Invesco DB.
Diversification Opportunities for IShares GSCI and Invesco DB
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between IShares and Invesco is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding iShares GSCI Commodity and Invesco DB Commodity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco DB Commodity and IShares GSCI 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 iShares GSCI Commodity are associated (or correlated) with Invesco DB. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco DB Commodity has no effect on the direction of IShares GSCI i.e., IShares GSCI and Invesco DB go up and down completely randomly.
Pair Corralation between IShares GSCI and Invesco DB
Given the investment horizon of 90 days iShares GSCI Commodity is expected to generate 1.07 times more return on investment than Invesco DB. However, IShares GSCI is 1.07 times more volatile than Invesco DB Commodity. It trades about 0.48 of its potential returns per unit of risk. Invesco DB Commodity is currently generating about 0.52 per unit of risk. If you would invest 2,466 in iShares GSCI Commodity on October 20, 2024 and sell it today you would earn a total of 202.00 from holding iShares GSCI Commodity or generate 8.19% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares GSCI Commodity vs. Invesco DB Commodity
Performance |
| Timeline |
| iShares GSCI Commodity |
| Invesco DB Commodity |
IShares GSCI and Invesco DB Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares GSCI and Invesco DB
The main advantage of trading using opposite IShares GSCI and Invesco DB positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares GSCI position performs unexpectedly, Invesco DB can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Invesco DB will offset losses from the drop in Invesco DB's long position.| IShares GSCI vs. Invesco Optimum Yield | IShares GSCI vs. First Trust Global | IShares GSCI vs. iShares ESG Aware | IShares GSCI vs. iShares Fallen Angels |
| Invesco DB vs. Invesco DB Agriculture | Invesco DB vs. iShares SP GSCI | Invesco DB vs. Invesco DB Base | Invesco DB vs. iPath Bloomberg Commodity |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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