Pair Correlation Between NQTH and Russell 2000

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

Pair Volatility

Assuming 30 trading days horizon, NQTH is expected to generate 0.96 times more return on investment than Russell 2000. However, NQTH is 1.04 times less risky than Russell 2000. It trades about 0.12 of its potential returns per unit of risk. Russell 2000 is currently generating about 0.09 per unit of risk. If you would invest  113,248  in NQTH on October 26, 2017 and sell it today you would earn a total of  1,774  from holding NQTH or generate 1.57% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between NQTH and Russell 2000
0.34

Parameters

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

Diversification

Weak diversification

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

 Predicted Return Density 
      Returns