Pair Correlation Between Russell 2000 and SP 500

This module allows you to analyze existing cross correlation between Russell 2000 and S&P 500. You can compare the effects of market volatilities on Russell 2000 and SP 500 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 SP 500. See also your portfolio center. Please also check ongoing floating volatility patterns of Russell 2000 and SP 500.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Russell 2000   vs   S&P 500
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Russell 2000 is expected to generate 1.91 times more return on investment than SP 500. However, Russell 2000 is 1.91 times more volatile than S&P 500. It trades about 0.11 of its potential returns per unit of risk. S&P 500 is currently generating about 0.2 per unit of risk. If you would invest  149,348  in Russell 2000 on October 25, 2017 and sell it today you would earn a total of  2,328  from holding Russell 2000 or generate 1.56% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Russell 2000 and SP 500
0.22

Parameters

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

Diversification

Modest diversification

Overlapping area represents the amount of risk that can be diversified away by holding Russell 2000 and S&P 500 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SP 500 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 SP 500. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SP 500 has no effect on the direction of Russell 2000 i.e. Russell 2000 and SP 500 go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns