This module allows you to analyze existing cross correlation between NZSE and Russell 2000 . You can compare the effects of market volatilities on NZSE 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 NZSE with a short position of Russell 2000. See also your portfolio center. Please also check ongoing floating volatility patterns of NZSE and Russell 2000.
|Investment Horizon||30 Days Login to change|
Assuming 30 trading days horizon, NZSE is expected to under-perform the Russell 2000. But the index apears to be less risky and, when comparing its historical volatility, NZSE is 1.7 times less risky than Russell 2000. The index trades about -0.03 of its potential returns per unit of risk. The Russell 2000 is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 150,042 in Russell 2000 on October 24, 2017 and sell it today you would earn a total of 1,634 from holding Russell 2000 or generate 1.09% return on investment over 30 days.