Correlation Analysis 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.
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 under-perform the NQFI. In addition to that, Russell 2000 is 1.06 times more volatile than NQFI. It trades about -0.41 of its total potential returns per unit of risk. NQFI is currently generating about -0.43 per unit of volatility. If you would invest  165,084  in NQFI on September 21, 2018 and sell it today you would lose (16,329)  from holding NQFI or give up 9.89% of portfolio value over 30 days.

Pair Corralation between Russell 2000 and NQFI

0.97
Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification

Almost no 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 

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See also your portfolio center. Please also try Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.


 
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