Correlation Analysis Between MerVal and Russell 2000

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

MerVal  vs.  Russell 2000

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to under-perform the Russell 2000. In addition to that, MerVal is 2.77 times more volatile than Russell 2000 . It trades about -0.24 of its total potential returns per unit of risk. Russell 2000 is currently generating about -0.45 per unit of volatility. If you would invest  170,532  in Russell 2000 on September 22, 2018 and sell it today you would lose (18,199)  from holding Russell 2000 or give up 10.67% of portfolio value over 30 days.

Pair Corralation between MerVal and Russell 2000

0.94
Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification

Almost no diversification

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

 Predicted Return Density 
      Returns 

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GOOG - USA Stock
Alphabet
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IT, Search Cloud And Integrated IT Services
Business Address1600 Amphitheatre Parkway
ExchangeNASDAQ
$1096.46

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See also your portfolio center. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.


 
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