Correlation Between Invesco DB and IShares SP
Can any of the company-specific risk be diversified away by investing in both Invesco DB and IShares SP 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 Invesco DB and IShares SP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Invesco DB Base and iShares SP GSCI, you can compare the effects of market volatilities on Invesco DB and IShares SP 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 Invesco DB with a short position of IShares SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Invesco DB and IShares SP.
Diversification Opportunities for Invesco DB and IShares SP
-0.21 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Invesco and IShares is -0.21. Overlapping area represents the amount of risk that can be diversified away by holding Invesco DB Base and iShares SP GSCI in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares SP GSCI and Invesco DB 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 Invesco DB Base are associated (or correlated) with IShares SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares SP GSCI has no effect on the direction of Invesco DB i.e., Invesco DB and IShares SP go up and down completely randomly.
Pair Corralation between Invesco DB and IShares SP
Considering the 90-day investment horizon Invesco DB is expected to generate 2.85 times less return on investment than IShares SP. But when comparing it to its historical volatility, Invesco DB Base is 1.84 times less risky than IShares SP. It trades about 0.28 of its potential returns per unit of risk. iShares SP GSCI is currently generating about 0.44 of returns per unit of risk over similar time horizon. If you would invest 2,114 in iShares SP GSCI on October 20, 2024 and sell it today you would earn a total of 191.00 from holding iShares SP GSCI or generate 9.04% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 95.0% |
| Values | Daily Returns |
Invesco DB Base vs. iShares SP GSCI
Performance |
| Timeline |
| Invesco DB Base |
| iShares SP GSCI |
Invesco DB and IShares SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Invesco DB and IShares SP
The main advantage of trading using opposite Invesco DB and IShares SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Invesco DB position performs unexpectedly, IShares SP 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 IShares SP will offset losses from the drop in IShares SP's long position.| Invesco DB vs. Invesco DB Precious | Invesco DB vs. Invesco DB Energy | Invesco DB vs. Invesco DB Agriculture | Invesco DB vs. Invesco DB Commodity |
| IShares SP vs. Invesco DB Commodity | IShares SP vs. iPath Bloomberg Commodity | IShares SP vs. Invesco DB Base | IShares SP vs. Invesco DB Agriculture |
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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.
Other Complementary Tools
| Alpha Finder Use alpha and beta coefficients to find investment opportunities after accounting for the risk | |
| Cryptocurrency Center Build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency | |
| Competition Analyzer Analyze and compare many basic indicators for a group of related or unrelated entities | |
| Commodity Directory Find actively traded commodities issued by global exchanges | |
| Analyst Advice Analyst recommendations and target price estimates broken down by several categories |