Correlation Analysis Between Russell 2000 and DOW

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

Comparative Performance

 Predicted Return Density 

Russell 2000   vs.  DOW

 Performance (%) 

Pair Volatility

Given the investment horizon of 30 days, Russell 2000 is expected to under-perform the DOW. In addition to that, Russell 2000 is 1.22 times more volatile than DOW. It trades about -0.1 of its total potential returns per unit of risk. DOW is currently generating about -0.07 per unit of volatility. If you would invest  2,533,999  in DOW on November 14, 2018 and sell it today you would lose (101,424)  from holding DOW or give up 4.0% of portfolio value over 30 days.

Pair Corralation between Russell 2000 and DOW

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for Russell 2000 and DOW

Russell 2000  diversification synergy

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Russell 2000 and DOW in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on DOW and Russell 2000 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 Russell 2000 are associated (or correlated) with DOW. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of DOW has no effect on the direction of Russell 2000 i.e. Russell 2000 and DOW go up and down completely randomly.

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See also your portfolio center. Please also try Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.