ETRACS Monthly Correlations

CEFD Etf

USD 19.07 0.05 0.26%

The current 90-days correlation between ETRACS Monthly Pay and ETRACS Quarterly Pay is 0.44 (i.e., Very weak diversification). The correlation of ETRACS Monthly 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.

ETRACS Monthly Correlation With Market

Poor diversification

The correlation between ETRACS Monthly Pay and DJI is 0.6 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding ETRACS Monthly Pay and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in ETRACS Monthly Pay. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in census.

Moving together with ETRACS Etf

0.66	GE	GE Aerospace	Pair Corr
0.67	AXP	American Express	Pair Corr
0.93	JPM	JPMorgan Chase	Pair Corr
0.64	HD	Home Depot	Pair Corr
0.81	WMT	Walmart	Pair Corr

Moving against ETRACS Etf

0.74	VIXY	ProShares VIX Short	Pair Corr
0.73	VXX	iPath Series B	Pair Corr
0.49	VXZ	iPath Series B	Pair Corr
0.48	VIXM	ProShares VIX Mid	Pair Corr
0.48	WTID	UBS ETRACS	Pair Corr
0.63	MRK	Merck Company	Pair Corr

Related Correlations Analysis

	BDCX	SVOL	MVRL	HYGW	SMHB
BDCX		0.54	0.58	0.73	0.72	BDCX
SVOL	0.54		-0.14	0.17	0.4	SVOL
MVRL	0.58	-0.14		0.81	0.68	MVRL
HYGW	0.73	0.17	0.81		0.72	HYGW
SMHB	0.72	0.4	0.68	0.72		SMHB
	BDCX	SVOL	MVRL	HYGW	SMHB

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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

HYGW	+ 0.81	MVRL
HYGW	+ 0.73	BDCX
SMHB	+ 0.72	BDCX
SMHB	+ 0.72	HYGW
SMHB	+ 0.68	MVRL
MVRL	+ 0.58	BDCX

High negative correlations

MVRL

- 0.14

SVOL

ETRACS Monthly Constituents Risk-Adjusted Indicators

There is a big difference between ETRACS Etf performing well and ETRACS Monthly 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 ETRACS Monthly's 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
BDCX	1.21	0.10	0.05	0.04	1.74	(1.25)	2.75	(2.44)	9.39
SVOL	1.11	(0.08)	0.00	(0.13)	0.00	0.00	2.07	(3.01)	7.96
MVRL	1.40	0.15	0.08	0.07	1.71	(1.41)	2.93	(2.69)	6.74
HYGW	0.14	0.00	0.26	(0.07)	0.21	(0.14)	0.32	(0.29)	1.15
SMHB	1.92	0.03	0.00	(0.04)	0.00	0.00	3.84	(4.67)	12.85

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC