Pair Correlation 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.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Russell 2000   vs   ISEQ
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Russell 2000 is expected to generate 1.37 times less return on investment than ISEQ. But when comparing it to its historical volatility, Russell 2000 is 1.27 times less risky than ISEQ. It trades about 0.08 of its potential returns per unit of risk. ISEQ is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest  677,950  in ISEQ on October 24, 2017 and sell it today you would earn a total of  10,042  from holding ISEQ or generate 1.48% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Russell 2000 and ISEQ
0.0

Parameters

Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Pay attention

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.
    Optimize

Comparative Volatility