Correlation Analysis Between ATX and Russell 2000

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

ATX  vs.  Russell 2000

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, ATX is expected to generate 1.16 times less return on investment than Russell 2000. But when comparing it to its historical volatility, ATX is 1.16 times less risky than Russell 2000. It trades about 0.71 of its potential returns per unit of risk. Russell 2000 is currently generating about 0.71 of returns per unit of risk over similar time horizon. If you would invest  152,333  in Russell 2000 on September 21, 2018 and sell it today you would earn a total of  1,871  from holding Russell 2000 or generate 1.23% return on investment over 30 days.

Pair Corralation between ATX and Russell 2000

0.0
Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Pay attention

Overlapping area represents the amount of risk that can be diversified away by holding ATX and Russell 2000 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Russell 2000 and ATX 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 ATX 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 ATX i.e. ATX and Russell 2000 go up and down completely randomly.
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Comparative Volatility

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Alphabet
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