Correlation Between ETFS Physical and ETFS Ultra
Can any of the company-specific risk be diversified away by investing in both ETFS Physical and ETFS Ultra 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 ETFS Physical and ETFS Ultra into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ETFS Physical Silver and ETFS Ultra Long, you can compare the effects of market volatilities on ETFS Physical and ETFS Ultra 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 Physical with a short position of ETFS Ultra. Check out your portfolio center. Please also check ongoing floating volatility patterns of ETFS Physical and ETFS Ultra.
Diversification Opportunities for ETFS Physical and ETFS Ultra
0.61 | Correlation Coefficient |
Poor diversification
The 3 months correlation between ETFS and ETFS is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding ETFS Physical Silver and ETFS Ultra Long in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ETFS Ultra Long and ETFS Physical 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 Physical Silver are associated (or correlated) with ETFS Ultra. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ETFS Ultra Long has no effect on the direction of ETFS Physical i.e., ETFS Physical and ETFS Ultra go up and down completely randomly.
Pair Corralation between ETFS Physical and ETFS Ultra
Assuming the 90 days trading horizon ETFS Physical is expected to generate 2.64 times less return on investment than ETFS Ultra. But when comparing it to its historical volatility, ETFS Physical Silver is 1.68 times less risky than ETFS Ultra. It trades about 0.06 of its potential returns per unit of risk. ETFS Ultra Long is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest 431.00 in ETFS Ultra Long on September 1, 2024 and sell it today you would earn a total of 624.00 from holding ETFS Ultra Long or generate 144.78% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 98.5% |
| Values | Daily Returns |
ETFS Physical Silver vs. ETFS Ultra Long
Performance |
| Timeline |
| ETFS Physical Silver |
| ETFS Ultra Long |
ETFS Physical and ETFS Ultra Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ETFS Physical and ETFS Ultra
The main advantage of trading using opposite ETFS Physical and ETFS Ultra positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ETFS Physical position performs unexpectedly, ETFS Ultra 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 ETFS Ultra will offset losses from the drop in ETFS Ultra's long position.| ETFS Physical vs. Champion Iron | ETFS Physical vs. Australian Dairy Farms | ETFS Physical vs. Perpetual Credit Income | ETFS Physical vs. Greentech Metals |
| ETFS Ultra vs. Champion Iron | ETFS Ultra vs. Australian Dairy Farms | ETFS Ultra vs. Perpetual Credit Income | ETFS Ultra vs. Greentech Metals |
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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..
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