Correlation Analysis Between Russell 2000 and Seoul Comp

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

Russell 2000   vs.  Seoul Comp

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Russell 2000 is expected to under-perform the Seoul Comp. But the index apears to be less risky and, when comparing its historical volatility, Russell 2000 is 1.04 times less risky than Seoul Comp. The index trades about -0.3 of its potential returns per unit of risk. The Seoul Comp is currently generating about -0.23 of returns per unit of risk over similar time horizon. If you would invest  230,898  in Seoul Comp on September 18, 2018 and sell it today you would lose (14,234)  from holding Seoul Comp or give up 6.16% of portfolio value over 30 days.

Pair Corralation between Russell 2000 and Seoul Comp

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

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