Pair Correlation Between NYSE and Russell 2000

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

Pair Volatility

Given the investment horizon of 30 days, NYSE is expected to generate 0.45 times more return on investment than Russell 2000. However, NYSE is 2.23 times less risky than Russell 2000. It trades about -0.16 of its potential returns per unit of risk. Russell 2000 is currently generating about -0.07 per unit of risk. If you would invest  1,243,053  in NYSE on October 20, 2017 and sell it today you would lose (12,763)  from holding NYSE or give up 1.03% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between NYSE and Russell 2000
0.71

Parameters

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

Diversification

Poor diversification

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

 Predicted Return Density 
      Returns