Correlation Analysis Between SP 500 and DOW

This module allows you to analyze existing cross correlation between S&P 500 and DOW. You can compare the effects of market volatilities on SP 500 and DOW 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 SP 500 with a short position of DOW. See also your portfolio center. Please also check ongoing floating volatility patterns of SP 500 and DOW.
 Time Horizon     30 Days    Login   to change
Symbolsvs

S&P 500  vs.  DOW

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, SP 500 is expected to generate 1.28 times less return on investment than DOW. But when comparing it to its historical volatility, S&P 500 is 1.03 times less risky than DOW. It trades about 0.12 of its potential returns per unit of risk. DOW is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest  2,446,170  in DOW on June 21, 2018 and sell it today you would earn a total of  59,642  from holding DOW or generate 2.44% return on investment over 30 days.

Pair Corralation between SP 500 and DOW

0.82
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 S&P 500 and DOW in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on DOW and SP 500 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 S&P 500 are associated (or correlated) with DOW. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of DOW has no effect on the direction of SP 500 i.e. SP 500 and DOW go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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GOOG - USA Stock
Alphabet
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IT, Search Cloud And Integrated IT Services
Business Address1600 Amphitheatre Parkway
ExchangeNASDAQ
$1184.91

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