Pair Correlation Between DOW and iPath Series

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

Pair Volatility

Given the investment horizon of 30 days, DOW is expected to generate 1.33 times less return on investment than iPath Series. But when comparing it to its historical volatility, DOW is 4.59 times less risky than iPath Series. It trades about 0.56 of its potential returns per unit of risk. iPath Series B SP GSCI Crude Oil is currently generating about 0.16 of returns per unit of risk over similar time horizon. If you would invest  4,997  in iPath Series B SP GSCI Crude Oil on September 17, 2017 and sell it today you would earn a total of  146.01  from holding iPath Series B SP GSCI Crude Oil or generate 2.92% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between DOW and iPath Series
0.38

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Weak
Accuracy80.95%
ValuesDaily Returns

Diversification

Weak diversification

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

 Predicted Return Density 
      Returns