Pair Correlation Between Russell 2000 and Russia TR

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

Pair Volatility

Given the investment horizon of 30 days, Russell 2000 is expected to under-perform the Russia TR. But the index apears to be less risky and, when comparing its historical volatility, Russell 2000 is 1.59 times less risky than Russia TR. The index trades about -0.04 of its potential returns per unit of risk. The Russia TR is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest  99,980  in Russia TR on October 19, 2017 and sell it today you would earn a total of  537  from holding Russia TR or generate 0.54% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Russell 2000 and Russia TR
-0.6

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification

Excellent diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns