This module allows you to analyze existing cross correlation between Seoul Comp and Russell 2000 . You can compare the effects of market volatilities on Seoul Comp 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 Seoul Comp with a short position of Russell 2000. See also your portfolio center. Please also check ongoing floating volatility patterns of Seoul Comp and Russell 2000.
|Horizon||30 Days Login to change|
Predicted Return Density
Seoul Comp vs. Russell 2000
Assuming 30 trading days horizon, Seoul Comp is expected to under-perform the Russell 2000. But the index apears to be less risky and, when comparing its historical volatility, Seoul Comp is 1.42 times less risky than Russell 2000. The index trades about -0.18 of its potential returns per unit of risk. The Russell 2000 is currently generating about -0.07 of returns per unit of risk over similar time horizon. If you would invest 156,575 in Russell 2000 on May 18, 2019 and sell it today you would lose (5,655) from holding Russell 2000 or give up 3.61% of portfolio value over 30 days.
Pair Corralation between Seoul Comp and Russell 2000
|Time Period||2 Months [change]|
Diversification Opportunities for Seoul Comp and Russell 2000
Very poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding Seoul Comp and Russell 2000 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Russell 2000 and Seoul Comp 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 Seoul Comp 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 Seoul Comp i.e. Seoul Comp and Russell 2000 go up and down completely randomly.
See also your portfolio center. Please also try Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.