Correlation Analysis Between IPC and Russell 2000

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

Comparative Performance

 Predicted Return Density 

IPC  vs.  Russell 2000

 Performance (%) 

Pair Volatility

Given the investment horizon of 30 days, IPC is expected to under-perform the Russell 2000. In addition to that, IPC is 1.21 times more volatile than Russell 2000 . It trades about -0.15 of its total potential returns per unit of risk. Russell 2000 is currently generating about -0.1 per unit of volatility. If you would invest  154,668  in Russell 2000 on November 14, 2018 and sell it today you would lose (11,233)  from holding Russell 2000 or give up 7.26% of portfolio value over 30 days.

Pair Corralation between IPC and Russell 2000

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for IPC and Russell 2000

IPC diversification synergy

Very weak diversification

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

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