Pair Correlation Between PowerShares QQQ and Vanguard Russell

This module allows you to analyze existing cross correlation between PowerShares QQQ ETF and Vanguard Russell 1000 Growth ETF. You can compare the effects of market volatilities on PowerShares QQQ and Vanguard Russell 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 PowerShares QQQ with a short position of Vanguard Russell. See also your portfolio center. Please also check ongoing floating volatility patterns of PowerShares QQQ and Vanguard Russell.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 PowerShares QQQ ETF  vs   Vanguard Russell 1000 Growth E
 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, PowerShares QQQ ETF is expected to generate 1.14 times more return on investment than Vanguard Russell. However, PowerShares QQQ is 1.14 times more volatile than Vanguard Russell 1000 Growth ETF. It trades about -0.07 of its potential returns per unit of risk. Vanguard Russell 1000 Growth ETF is currently generating about -0.09 per unit of risk. If you would invest  16,951  in PowerShares QQQ ETF on January 23, 2018 and sell it today you would lose (469.00)  from holding PowerShares QQQ ETF or give up 2.77% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between PowerShares QQQ and Vanguard Russell
0.99

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy95.45%
ValuesDaily Returns

Diversification

No risk reduction

Overlapping area represents the amount of risk that can be diversified away by holding PowerShares QQQ ETF and Vanguard Russell 1000 Growth E in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Russell 1000 and PowerShares QQQ 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 PowerShares QQQ ETF are associated (or correlated) with Vanguard Russell. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Russell 1000 has no effect on the direction of PowerShares QQQ i.e. PowerShares QQQ and Vanguard Russell go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

PowerShares QQQ ETF

  
0 

Risk-Adjusted Performance

Over the last 30 days PowerShares QQQ ETF has generated negative risk-adjusted returns adding no value to investors with long positions.

Vanguard Russell 1000

  
0 

Risk-Adjusted Performance

Over the last 30 days Vanguard Russell 1000 Growth ETF has generated negative risk-adjusted returns adding no value to investors with long positions.