Pair Correlation Between DOW and ETFS Bloomberg

This module allows you to analyze existing cross correlation between DOW and ETFS Bloomberg Energy Commodity Longer Dated 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 Energy Commodit
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, DOW is expected to under-perform the ETFS Bloomberg. But the index apears to be less risky and, when comparing its historical volatility, DOW is 1.13 times less risky than ETFS Bloomberg. The index trades about -0.14 of its potential returns per unit of risk. The ETFS Bloomberg Energy Commodity Longer Dated Strategy K-1 Free is currently generating about -0.06 of returns per unit of risk over similar time horizon. If you would invest  2,550  in ETFS Bloomberg Energy Commodity Longer Dated Strategy K-1 Free on January 23, 2018 and sell it today you would lose (62.00)  from holding ETFS Bloomberg Energy Commodity Longer Dated Strategy K-1 Free or give up 2.43% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between DOW and ETFS Bloomberg
0.08

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthInsignificant
Accuracy85.71%
ValuesDaily Returns

Diversification

Significant diversification

Overlapping area represents the amount of risk that can be diversified away by holding DOW and ETFS Bloomberg Energy Commodit in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on ETFS Bloomberg Energy 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 Energy 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