Correlation Between ETRACS 2xMonthly and Barclays ETN
Can any of the company-specific risk be diversified away by investing in both ETRACS 2xMonthly and Barclays ETN 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 ETRACS 2xMonthly and Barclays ETN into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ETRACS 2xMonthly Pay and Barclays ETN Select, you can compare the effects of market volatilities on ETRACS 2xMonthly and Barclays ETN 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 ETRACS 2xMonthly with a short position of Barclays ETN. Check out your portfolio center. Please also check ongoing floating volatility patterns of ETRACS 2xMonthly and Barclays ETN.
Diversification Opportunities for ETRACS 2xMonthly and Barclays ETN
-0.23 | Correlation Coefficient |
Very good diversification
The 3 months correlation between ETRACS and Barclays is -0.23. Overlapping area represents the amount of risk that can be diversified away by holding ETRACS 2xMonthly Pay and Barclays ETN Select in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Barclays ETN Select and ETRACS 2xMonthly 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 ETRACS 2xMonthly Pay are associated (or correlated) with Barclays ETN. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Barclays ETN Select has no effect on the direction of ETRACS 2xMonthly i.e., ETRACS 2xMonthly and Barclays ETN go up and down completely randomly.
Pair Corralation between ETRACS 2xMonthly and Barclays ETN
Given the investment horizon of 90 days ETRACS 2xMonthly is expected to generate 2.98 times less return on investment than Barclays ETN. In addition to that, ETRACS 2xMonthly is 1.84 times more volatile than Barclays ETN Select. It trades about 0.03 of its total potential returns per unit of risk. Barclays ETN Select is currently generating about 0.14 per unit of volatility. If you would invest 1,658 in Barclays ETN Select on August 30, 2024 and sell it today you would earn a total of 1,351 from holding Barclays ETN Select or generate 81.48% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
ETRACS 2xMonthly Pay vs. Barclays ETN Select
Performance |
| Timeline |
| ETRACS 2xMonthly Pay |
| Barclays ETN Select |
ETRACS 2xMonthly and Barclays ETN Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ETRACS 2xMonthly and Barclays ETN
The main advantage of trading using opposite ETRACS 2xMonthly and Barclays ETN positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ETRACS 2xMonthly position performs unexpectedly, Barclays ETN 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 Barclays ETN will offset losses from the drop in Barclays ETN's long position.| ETRACS 2xMonthly vs. ProShares VIX Mid Term | ETRACS 2xMonthly vs. ProShares VIX Short Term | ETRACS 2xMonthly vs. iPath Series B | ETRACS 2xMonthly vs. ProShares Short Russell2000 |
| Barclays ETN vs. Alerian Energy Infrastructure | Barclays ETN vs. UBS AG London | Barclays ETN vs. First Trust North | Barclays ETN vs. Tortoise North American |
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 Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
Other Complementary Tools
| Portfolio Optimization Compute new portfolio that will generate highest expected return given your specified tolerance for risk | |
| Volatility Analysis Get historical volatility and risk analysis based on latest market data | |
| Stock Screener Find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook. | |
| Portfolio Center All portfolio management and optimization tools to improve performance of your portfolios | |
| Money Flow Index Determine momentum by analyzing Money Flow Index and other technical indicators |