Pair Correlation Between Russell 2000 and NZSE

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

Pair Volatility

Given the investment horizon of 30 days, Russell 2000 is expected to generate 1.54 times more return on investment than NZSE. However, Russell 2000 is 1.54 times more volatile than NZSE. It trades about -0.02 of its potential returns per unit of risk. NZSE is currently generating about -0.1 per unit of risk. If you would invest  149,749  in Russell 2000 on October 21, 2017 and sell it today you would lose (467)  from holding Russell 2000 or give up 0.31% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Russell 2000 and NZSE
0.83

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy95.24%
ValuesDaily Returns

Diversification

Very poor diversification

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

 Predicted Return Density 
      Returns