Correlation Analysis Between Russell 2000 and Hang Seng

This module allows you to analyze existing cross correlation between Russell 2000 and Hang Seng. You can compare the effects of market volatilities on Russell 2000 and Hang Seng 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 Hang Seng. See also your portfolio center. Please also check ongoing floating volatility patterns of Russell 2000 and Hang Seng.
Horizon     30 Days    Login   to change
Symbolsvs

Russell 2000   vs.  Hang Seng

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Russell 2000 is expected to under-perform the Hang Seng. But the index apears to be less risky and, when comparing its historical volatility, Russell 2000 is 1.82 times less risky than Hang Seng. The index trades about -0.49 of its potential returns per unit of risk. The Hang Seng is currently generating about -0.14 of returns per unit of risk over similar time horizon. If you would invest  2,685,658  in Hang Seng on September 15, 2018 and sell it today you would lose (138,658)  from holding Hang Seng or give up 5.16% of portfolio value over 30 days.

Pair Corralation between Russell 2000 and Hang Seng

0.88
Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification

Very poor diversification

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

 Predicted Return Density 
      Returns 

My Equities

My Current Equities and Potential Positions

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COST - USA Stock
Costco Wholesale Corporation
Fama & French Retail
Retail
Fama & French Classification
RegionNorth America
ExchangeBATS Exchange
$226.95

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