Correlation Analysis Between Russell 2000 and NQPH

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

Russell 2000   vs.  NQPH

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Russell 2000 is expected to under-perform the NQPH. In addition to that, Russell 2000 is 1.29 times more volatile than NQPH. It trades about -0.45 of its total potential returns per unit of risk. NQPH is currently generating about -0.06 per unit of volatility. If you would invest  97,866  in NQPH on September 22, 2018 and sell it today you would lose (1,243)  from holding NQPH or give up 1.27% of portfolio value over 30 days.

Pair Corralation between Russell 2000 and NQPH

0.72
Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Poor diversification

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

 Predicted Return Density 
      Returns 

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