Pair Correlation Between Russell 2000 and NQFI

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

Pair Volatility

Given the investment horizon of 30 days, Russell 2000 is expected to generate 1.56 times less return on investment than NQFI. In addition to that, Russell 2000 is 1.45 times more volatile than NQFI. It trades about 0.27 of its total potential returns per unit of risk. NQFI is currently generating about 0.6 per unit of volatility. If you would invest  151,387  in NQFI on December 19, 2017 and sell it today you would earn a total of  9,010  from holding NQFI or generate 5.95% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Russell 2000 and NQFI
0.88

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy86.96%
ValuesDaily Returns

Diversification

Very poor diversification

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

 Predicted Return Density 
      Returns