Pair Correlation Between XU100 and Russell 2000

This module allows you to analyze existing cross correlation between XU100 and Russell 2000 . You can compare the effects of market volatilities on XU100 and Russell 2000 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 XU100 with a short position of Russell 2000. See also your portfolio center. Please also check ongoing floating volatility patterns of XU100 and Russell 2000.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 XU100  vs   Russell 2000
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, XU100 is expected to under-perform the Russell 2000. In addition to that, XU100 is 2.03 times more volatile than Russell 2000 . It trades about -0.03 of its total potential returns per unit of risk. Russell 2000 is currently generating about 0.08 per unit of volatility. If you would invest  150,042  in Russell 2000 on October 24, 2017 and sell it today you would earn a total of  1,634  from holding Russell 2000 or generate 1.09% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between XU100 and Russell 2000
0.0

Parameters

Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy95.65%
ValuesDaily Returns

Diversification

Pay attention

Overlapping area represents the amount of risk that can be diversified away by holding XU100 and Russell 2000 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Russell 2000 and XU100 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 XU100 are associated (or correlated) with Russell 2000. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Russell 2000 has no effect on the direction of XU100 i.e. XU100 and Russell 2000 go up and down completely randomly.
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Comparative Volatility