Pair Correlation Between DOW and PIMCO 1

This module allows you to analyze existing cross correlation between DOW and PIMCO 1 5 Year US TIPS ETF. You can compare the effects of market volatilities on DOW and PIMCO 1 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 1. See also your portfolio center. Please also check ongoing floating volatility patterns of DOW and PIMCO 1.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 DOW  vs   PIMCO 1 5 Year US TIPS ETF
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, DOW is expected to generate 6.75 times more return on investment than PIMCO 1. However, DOW is 6.75 times more volatile than PIMCO 1 5 Year US TIPS ETF. It trades about 0.55 of its potential returns per unit of risk. PIMCO 1 5 Year US TIPS ETF is currently generating about 0.15 per unit of risk. If you would invest  2,479,220  in DOW on December 18, 2017 and sell it today you would earn a total of  101,099  from holding DOW or generate 4.08% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between DOW and PIMCO 1
0.36

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Weak
Accuracy95.0%
ValuesDaily Returns

Diversification

Weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding DOW and PIMCO 1 5 Year US TIPS ETF in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on PIMCO 1 5 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 1. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PIMCO 1 5 has no effect on the direction of DOW i.e. DOW and PIMCO 1 go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns