Pair Correlation Between ATX and DOW

This module allows you to analyze existing cross correlation between ATX and DOW. You can compare the effects of market volatilities on ATX and DOW 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 ATX with a short position of DOW. See also your portfolio center. Please also check ongoing floating volatility patterns of ATX and DOW.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 ATX  vs   DOW
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, ATX is expected to under-perform the DOW. In addition to that, ATX is 1.77 times more volatile than DOW. It trades about -0.11 of its total potential returns per unit of risk. DOW is currently generating about 0.16 per unit of volatility. If you would invest  2,316,304  in DOW on October 19, 2017 and sell it today you would earn a total of  29,532  from holding DOW or generate 1.27% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between ATX and DOW
0.32

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Weak
Accuracy95.45%
ValuesDaily Returns

Diversification

Weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding ATX and DOW in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on DOW and ATX 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 ATX are associated (or correlated) with DOW. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of DOW has no effect on the direction of ATX i.e. ATX and DOW go up and down completely randomly.
    Optimize

Comparative Volatility

 Predicted Return Density 
      Returns