Two Equities Correlation Analysis

This model provides you with a quick lookup of cross correlation between two equities. Please specify two instruments to run the correlation.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 Facebook Inc  vs   DOW
 Performance (%) 
      Timeline 

Pair Volatility

Allowing for the 30-days total investment horizon, Facebook Inc is expected to under-perform the DOW. In addition to that, Facebook is 1.32 times more volatile than DOW. It trades about -0.12 of its total potential returns per unit of risk. DOW is currently generating about -0.14 per unit of volatility. If you would invest  2,621,081  in DOW on January 23, 2018 and sell it today you would lose (141,303)  from holding DOW or give up 5.39% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Facebook and DOW
0.85

Parameters

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 Facebook Inc and DOW in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on DOW and Facebook 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 Facebook Inc 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 Facebook i.e. Facebook and DOW go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns