Correlation Analysis Between DOW and iShares MSCI

This module allows you to analyze existing cross correlation between DOW and iShares MSCI EAFE Small Cap ETF. 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.
Horizon     30 Days    Login   to change
Symbolsvs

DOW  vs.  iShares MSCI EAFE Small Cap ET

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, DOW is expected to generate 1.16 times more return on investment than iShares MSCI. However, DOW is 1.16 times more volatile than iShares MSCI EAFE Small Cap ETF. It trades about -0.21 of its potential returns per unit of risk. iShares MSCI EAFE Small Cap ETF is currently generating about -0.46 per unit of risk. If you would invest  2,656,205  in DOW on September 23, 2018 and sell it today you would lose (124,464)  from holding DOW or give up 4.69% of portfolio value over 30 days.

Pair Corralation between DOW and iShares MSCI

0.81
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 iShares MSCI EAFE Small Cap ET 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 

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