IShares Commodity Correlations

CCRV Etf

USD 20.15 0.02 0.1%

The current 90-days correlation between iShares Commodity Curve and iShares Bloomberg Roll is 0.85 (i.e., Very poor diversification). The correlation of IShares Commodity 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. If the correlation is 0, the equities are not correlated; they are entirely random.

IShares Commodity Correlation With Market

Poor diversification

The correlation between iShares Commodity Curve and DJI is 0.63 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares Commodity Curve and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with IShares Etf

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in iShares Commodity Curve. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in metropolitan statistical area.

Moving together with IShares Etf

0.96	PDBC	Invesco Optimum Yield	Pair Corr
0.95	FTGC	First Trust Global	Pair Corr
0.99	DBC	Invesco DB Commodity	Pair Corr
0.99	COMT	iShares GSCI Commodity	Pair Corr
0.99	GSG	iShares SP GSCI	Pair Corr
0.93	DJP	iPath Bloomberg Commodity	Pair Corr
0.93	BCI	abrdn Bloomberg All	Pair Corr
0.93	CMDY	iShares Bloomberg Roll	Pair Corr
0.92	COMB	GraniteShares Bloomberg	Pair Corr
0.69	GCC	WisdomTree Continuous	Pair Corr
0.91	OIH	VanEck Oil Services	Pair Corr
0.8	IRET	iREIT MarketVector	Pair Corr

Moving against IShares Etf

0.46	IAGG	iShares Core Interna	Pair Corr
0.42	OBIL	US Treasury 12	Pair Corr
0.31	TRSY	Xtrackers 0 1	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.82	0.66	0.76	0.4	0.61	0.58	0.77	-0.13	0.04	META
MSFT	0.82		0.91	0.8	0.53	0.24	0.48	0.93	-0.52	-0.31	MSFT
UBER	0.66	0.91		0.84	0.52	0.12	0.56	0.93	-0.57	-0.25	UBER
F	0.76	0.8	0.84		0.52	0.37	0.64	0.83	-0.3	0.04	F
T	0.4	0.53	0.52	0.52		0.01	0.07	0.62	-0.37	0.03	T
A	0.61	0.24	0.12	0.37	0.01		0.66	0.29	0.62	0.67	A
CRM	0.58	0.48	0.56	0.64	0.07	0.66		0.54	0.21	0.38	CRM
JPM	0.77	0.93	0.93	0.83	0.62	0.29	0.54		-0.48	-0.09	JPM
MRK	-0.13	-0.52	-0.57	-0.3	-0.37	0.62	0.21	-0.48		0.71	MRK
XOM	0.04	-0.31	-0.25	0.04	0.03	0.67	0.38	-0.09	0.71		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

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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

JPM	+ 0.93	MSFT
JPM	+ 0.93	UBER
UBER	+ 0.91	MSFT
F	+ 0.84	UBER
JPM	+ 0.83	F
MSFT	+ 0.82	META

High negative correlations

MRK	- 0.57	UBER
MRK	- 0.52	MSFT
MRK	- 0.48	JPM
MRK	- 0.37	T
XOM	- 0.31	MSFT
MRK	- 0.3	F

IShares Commodity Competition Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares Commodity 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 IShares Commodity'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
META	2.19	0.27	0.07	(3.76)	2.70	(2.32)	4.23	(4.67)	21.50
MSFT	1.26	0.30	0.19	0.36	1.13	(1.36)	2.58	(2.36)	13.79
UBER	1.92	0.24	0.10	0.24	2.33	(2.08)	4.19	(3.48)	16.18
F	1.73	0.16	0.03	(0.61)	2.30	(1.78)	2.90	(3.84)	13.07
T	1.19	0.13	0.05	0.49	1.77	(1.21)	2.01	(2.62)	8.83
A	1.80	(0.08)	(0.02)	0.00	2.47	(1.86)	3.24	(4.15)	14.45
CRM	1.65	(0.11)	0.00	(0.03)	0.00	0.00	3.02	(4.45)	13.13
JPM	1.33	0.19	0.09	0.23	1.95	(1.39)	2.88	(2.12)	11.14
MRK	1.60	(0.23)	0.00	(0.29)	0.00	0.00	2.55	(4.72)	10.60
XOM	1.29	(0.02)	(0.01)	0.04	2.19	(1.25)	2.80	(2.77)	10.53

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