Pair Correlation Between DOW and iPath Seasonal

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

Pair Volatility

Given the investment horizon of 30 days, DOW is expected to generate 0.23 times more return on investment than iPath Seasonal. However, DOW is 4.43 times less risky than iPath Seasonal. It trades about 0.73 of its potential returns per unit of risk. iPath Seasonal Natural Gas ETN is currently generating about -0.29 per unit of risk. If you would invest  2,234,959  in DOW on September 22, 2017 and sell it today you would earn a total of  97,904  from holding DOW or generate 4.38% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between DOW and iPath Seasonal
-0.22

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy45.45%
ValuesDaily Returns

Diversification

Very good diversification

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

 Predicted Return Density 
      Returns