Correlation Analysis Between Nasdaq and Russell 2000

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

Comparative Performance

 Predicted Return Density 
      Returns 

Nasdaq  vs.  Russell 2000

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Nasdaq is expected to generate 1.14 times more return on investment than Russell 2000. However, Nasdaq is 1.14 times more volatile than Russell 2000 . It trades about -0.08 of its potential returns per unit of risk. Russell 2000 is currently generating about -0.1 per unit of risk. If you would invest  749,689  in Nasdaq on November 14, 2018 and sell it today you would lose (47,919)  from holding Nasdaq or give up 6.39% of portfolio value over 30 days.

Pair Corralation between Nasdaq and Russell 2000

0.89
Time Period2 Months [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Nasdaq and Russell 2000

Nasdaq diversification synergy

Very poor diversification

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