Pair Correlation Between DOW and iPath SP

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

Pair Volatility

Given the investment horizon of 30 days, DOW is expected to under-perform the iPath SP. But the index apears to be less risky and, when comparing its historical volatility, DOW is 1.19 times less risky than iPath SP. The index trades about -0.1 of its potential returns per unit of risk. The iPath SP GSCI Crude Oil TR ETN is currently generating about -0.07 of returns per unit of risk over similar time horizon. If you would invest  708.00  in iPath SP GSCI Crude Oil TR ETN on January 21, 2018 and sell it today you would lose (25.00)  from holding iPath SP GSCI Crude Oil TR ETN or give up 3.53% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between DOW and iPath SP
0.84

Parameters

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

Diversification

Very poor diversification

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

 Predicted Return Density 
      Returns