Correlation Analysis Between Russell 2000 and NQTH

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

 Predicted Return Density 
      Returns 

Russell 2000   vs.  NQTH

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Russell 2000 is expected to generate 1.8 times more return on investment than NQTH. However, Russell 2000 is 1.8 times more volatile than NQTH. It trades about -0.03 of its potential returns per unit of risk. NQTH is currently generating about -0.09 per unit of risk. If you would invest  156,200  in Russell 2000 on September 14, 2019 and sell it today you would lose (5,928)  from holding Russell 2000 or give up 3.8% of portfolio value over 30 days.

Pair Corralation between Russell 2000 and NQTH

0.25
Time Period3 Months [change]
DirectionPositive 
StrengthVery Weak
Accuracy52.31%
ValuesDaily Returns

Diversification Opportunities for Russell 2000 and NQTH

Russell 2000  diversification synergy

Modest diversification

Overlapping area represents the amount of risk that can be diversified away by holding Russell 2000 and NQTH in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NQTH 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 NQTH. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NQTH has no effect on the direction of Russell 2000 i.e. Russell 2000 and NQTH go up and down completely randomly.
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See also your portfolio center. Please also try Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.


 
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