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.
 Time 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 generate 0.71 times more return on investment than Russia TR. However, Russell 2000 is 1.4 times less risky than Russia TR. It trades about 0.01 of its potential returns per unit of risk. Russia TR is currently generating about -0.11 per unit of risk. If you would invest  155,933  in Russell 2000 on March 28, 2018 and sell it today you would lose (143.54)  from holding Russell 2000 or give up 0.09% of portfolio value over 30 days.

Pair Corralation between Russell 2000 and Russia TR

0.92
Time Period2 Months [change]
DirectionPositive 
StrengthVery Strong
Accuracy90.2%
ValuesDaily Returns

Diversification

Almost no 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.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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See also your portfolio center. Please also try Commodity Channel Index module to use commodity channel index to analyze current equity momentum.