Correlation Analysis Between Russell 2000 and MerVal

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

 Predicted Return Density 
      Returns 

Russell 2000   vs.  MerVal

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Russell 2000 is expected to under-perform the MerVal. But the index apears to be less risky and, when comparing its historical volatility, Russell 2000 is 1.34 times less risky than MerVal. The index trades about -0.18 of its potential returns per unit of risk. The MerVal is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest  2,926,300  in MerVal on November 16, 2018 and sell it today you would earn a total of  184,645  from holding MerVal or generate 6.31% return on investment over 30 days.

Pair Corralation between Russell 2000 and MerVal

-0.14
Time Period2 Months [change]
DirectionNegative 
StrengthInsignificant
Accuracy97.62%
ValuesDaily Returns

Diversification Opportunities for Russell 2000 and MerVal

Russell 2000  diversification synergy

Good diversification

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