Pair Correlation Between DOW and ETFS Bloomberg

This module allows you to analyze existing cross correlation between DOW and ETFS Bloomberg All Commodity Strategy K-1 Free. You can compare the effects of market volatilities on DOW and ETFS Bloomberg 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 DOW with a short position of ETFS Bloomberg. See also your portfolio center. Please also check ongoing floating volatility patterns of DOW and ETFS Bloomberg.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 DOW  vs   ETFS Bloomberg All Commodity S
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, DOW is expected to generate 1.3 times less return on investment than ETFS Bloomberg. But when comparing it to its historical volatility, DOW is 1.07 times less risky than ETFS Bloomberg. It trades about 0.55 of its potential returns per unit of risk. ETFS Bloomberg All Commodity Strategy K-1 Free is currently generating about 0.67 of returns per unit of risk over similar time horizon. If you would invest  2,345  in ETFS Bloomberg All Commodity Strategy K-1 Free on December 17, 2017 and sell it today you would earn a total of  125.48  from holding ETFS Bloomberg All Commodity Strategy K-1 Free or generate 5.35% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between DOW and ETFS Bloomberg
0.36

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

Diversification

Weak diversification

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

 Predicted Return Density 
      Returns