Correlation Analysis Between Russell 2000 and Nasdaq

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

Russell 2000   vs.  Nasdaq

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Russell 2000 is expected to under-perform the Nasdaq. But the index apears to be less risky and, when comparing its historical volatility, Russell 2000 is 1.45 times less risky than Nasdaq. The index trades about -0.09 of its potential returns per unit of risk. The Nasdaq is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest  787,846  in Nasdaq on August 26, 2018 and sell it today you would earn a total of  11,479  from holding Nasdaq or generate 1.46% return on investment over 30 days.

Pair Corralation between Russell 2000 and Nasdaq

0.0
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 Nasdaq in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Nasdaq 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 Nasdaq. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nasdaq has no effect on the direction of Russell 2000 i.e. Russell 2000 and Nasdaq go up and down completely randomly.
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Comparative Volatility

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