Pair Correlation Between Russell 2000 and Shanghai

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

Pair Volatility

Given the investment horizon of 30 days, Russell 2000 is expected to generate 1.01 times more return on investment than Shanghai. However, Russell 2000 is 1.01 times more volatile than Shanghai. It trades about -0.11 of its potential returns per unit of risk. Shanghai is currently generating about -0.37 per unit of risk. If you would invest  160,167  in Russell 2000 on January 25, 2018 and sell it today you would lose (5,248)  from holding Russell 2000 or give up 3.28% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Russell 2000 and Shanghai


Time Period1 Month [change]
ValuesDaily Returns


Significant diversification

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

Comparative Volatility

 Predicted Return Density