Correlation Analysis Between DOW and SP 500

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

Comparative Performance

 Predicted Return Density 

DOW  vs.  S&P 500

 Performance (%) 

Pair Volatility

Given the investment horizon of 30 days, DOW is expected to generate 0.96 times more return on investment than SP 500. However, DOW is 1.04 times less risky than SP 500. It trades about -0.11 of its potential returns per unit of risk. S&P 500 is currently generating about -0.12 per unit of risk. If you would invest  2,572,512  in DOW on November 15, 2018 and sell it today you would lose (162,461)  from holding DOW or give up 6.32% of portfolio value over 30 days.

Pair Corralation between DOW and SP 500

Time Period2 Months [change]
StrengthVery Strong
ValuesDaily Returns

Diversification Opportunities for DOW and SP 500

DOW diversification synergy

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding DOW and S&P 500 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SP 500 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 SP 500. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SP 500 has no effect on the direction of DOW i.e. DOW and SP 500 go up and down completely randomly.

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See also your portfolio center. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.