Pair Correlation Between DOW and VelocityShares 3x

This module allows you to analyze existing cross correlation between DOW and VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER. You can compare the effects of market volatilities on DOW and VelocityShares 3x 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 VelocityShares 3x. See also your portfolio center. Please also check ongoing floating volatility patterns of DOW and VelocityShares 3x.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 DOW  vs   VelocityShares 3x Long Crude O
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, DOW is expected to generate 4.69 times less return on investment than VelocityShares 3x. But when comparing it to its historical volatility, DOW is 5.77 times less risky than VelocityShares 3x. It trades about 0.63 of its potential returns per unit of risk. VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER is currently generating about 0.51 of returns per unit of risk over similar time horizon. If you would invest  2,242  in VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER on December 23, 2017 and sell it today you would earn a total of  642  from holding VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER or generate 28.64% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between DOW and VelocityShares 3x
0.9

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 VelocityShares 3x Long Crude O in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on VelocityShares 3x Long 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 VelocityShares 3x. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of VelocityShares 3x Long has no effect on the direction of DOW i.e. DOW and VelocityShares 3x go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns