Pair Correlation Between DOW and DB Crude

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

Pair Volatility

Given the investment horizon of 30 days, DOW is expected to generate 0.09 times more return on investment than DB Crude. However, DOW is 10.88 times less risky than DB Crude. It trades about 0.55 of its potential returns per unit of risk. DB Crude Oil Double Short ETN is currently generating about -0.12 per unit of risk. If you would invest  2,237,080  in DOW on September 19, 2017 and sell it today you would earn a total of  62,664  from holding DOW or generate 2.8% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between DOW and DB Crude
0.01

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthInsignificant
Accuracy95.65%
ValuesDaily Returns

Diversification

Significant diversification

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

 Predicted Return Density 
      Returns