Correlation Analysis Between DOW and PIMCO RAFI

This module allows you to analyze existing cross correlation between DOW and PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF. You can compare the effects of market volatilities on DOW and PIMCO RAFI 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 PIMCO RAFI. See also your portfolio center. Please also check ongoing floating volatility patterns of DOW and PIMCO RAFI.
Horizon     30 Days    Login   to change
Symbolsvs

DOW  vs.  PIMCO RAFI Dyn Mlt Fctr Emrg M

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, DOW is expected to under-perform the PIMCO RAFI. In addition to that, DOW is 1.03 times more volatile than PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF. It trades about -0.06 of its total potential returns per unit of risk. PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF is currently generating about 0.0 per unit of volatility. If you would invest  2,281  in PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF on November 13, 2018 and sell it today you would lose (5.07)  from holding PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF or give up 0.22% of portfolio value over 30 days.

Pair Corralation between DOW and PIMCO RAFI

0.12
Time Period2 Months [change]
DirectionPositive 
StrengthInsignificant
Accuracy85.11%
ValuesDaily Returns

Diversification

DOW diversification synergy

Average diversification

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

 Predicted Return Density 
      Returns 

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