Correlation Analysis Between Russell 2000 and NYSE

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

Russell 2000   vs.  NYSE

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Russell 2000 is expected to under-perform the NYSE. In addition to that, Russell 2000 is 1.36 times more volatile than NYSE. It trades about -0.04 of its total potential returns per unit of risk. NYSE is currently generating about -0.02 per unit of volatility. If you would invest  1,243,942  in NYSE on October 14, 2018 and sell it today you would lose (9,591)  from holding NYSE or give up 0.77% of portfolio value over 30 days.

Pair Corralation between Russell 2000 and NYSE

0.95
Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification

Russell 2000  diversification synergy

Almost no diversification

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

 Predicted Return Density 
      Returns 

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