Correlation Analysis Between All Ords and Russell 2000

This module allows you to analyze existing cross correlation between All Ords and Russell 2000 . You can compare the effects of market volatilities on All Ords and Russell 2000 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 All Ords with a short position of Russell 2000. See also your portfolio center. Please also check ongoing floating volatility patterns of All Ords and Russell 2000.
Horizon     30 Days    Login   to change
Symbolsvs
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Comparative Performance

 Predicted Return Density 
      Returns 

All Ords  vs.  Russell 2000

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, All Ords is expected to generate 0.63 times more return on investment than Russell 2000. However, All Ords is 1.59 times less risky than Russell 2000. It trades about -0.14 of its potential returns per unit of risk. Russell 2000 is currently generating about -0.17 per unit of risk. If you would invest  594,490  in All Ords on November 18, 2018 and sell it today you would lose (28,310)  from holding All Ords or give up 4.76% of portfolio value over 30 days.

Pair Corralation between All Ords and Russell 2000

0.61
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy85.0%
ValuesDaily Returns

Diversification Opportunities for All Ords and Russell 2000

All Ords diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding All Ords and Russell 2000 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Russell 2000 and All Ords 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 All Ords are associated (or correlated) with Russell 2000. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Russell 2000 has no effect on the direction of All Ords i.e. All Ords and Russell 2000 go up and down completely randomly.
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