Pair Correlation Between DOW and iShares MSCI

This module allows you to analyze existing cross correlation between DOW and iShares MSCI EAFE Small Cap. You can compare the effects of market volatilities on DOW and iShares MSCI 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 iShares MSCI. See also your portfolio center. Please also check ongoing floating volatility patterns of DOW and iShares MSCI.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 DOW  vs   iShares MSCI EAFE Small Cap
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, DOW is expected to generate 1.2 times less return on investment than iShares MSCI. In addition to that, DOW is 1.1 times more volatile than iShares MSCI EAFE Small Cap. It trades about 0.6 of its total potential returns per unit of risk. iShares MSCI EAFE Small Cap is currently generating about 0.8 per unit of volatility. If you would invest  6,389  in iShares MSCI EAFE Small Cap on December 22, 2017 and sell it today you would earn a total of  389  from holding iShares MSCI EAFE Small Cap or generate 6.09% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between DOW and iShares MSCI
0.95

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy94.74%
ValuesDaily Returns

Diversification

Almost no diversification

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

 Predicted Return Density 
      Returns