Correlation Analysis Between Russell 2000 and ISEQ

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

 Predicted Return Density 
      Returns 

Russell 2000   vs.  ISEQ

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Russell 2000 is expected to under-perform the ISEQ. In addition to that, Russell 2000 is 1.22 times more volatile than ISEQ. It trades about -0.17 of its total potential returns per unit of risk. ISEQ is currently generating about -0.16 per unit of volatility. If you would invest  599,746  in ISEQ on November 18, 2018 and sell it today you would lose (51,604)  from holding ISEQ or give up 8.6% of portfolio value over 30 days.

Pair Corralation between Russell 2000 and ISEQ

0.72
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy95.35%
ValuesDaily Returns

Diversification Opportunities for Russell 2000 and ISEQ

Russell 2000  diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Russell 2000 and ISEQ in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on ISEQ 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 ISEQ. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ISEQ has no effect on the direction of Russell 2000 i.e. Russell 2000 and ISEQ go up and down completely randomly.
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See also your portfolio center. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.


 
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