Correlation Analysis Between NIKKEI 225 and Russell 2000

This module allows you to analyze existing cross correlation between NIKKEI 225 and Russell 2000 . You can compare the effects of market volatilities on NIKKEI 225 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 NIKKEI 225 with a short position of Russell 2000. See also your portfolio center. Please also check ongoing floating volatility patterns of NIKKEI 225 and Russell 2000.
Horizon     30 Days    Login   to change
Symbolsvs
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Comparative Performance

 Predicted Return Density 
      Returns 

NIKKEI 225  vs.  Russell 2000

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, NIKKEI 225 is expected to under-perform the Russell 2000. But the index apears to be less risky and, when comparing its historical volatility, NIKKEI 225 is 1.49 times less risky than Russell 2000. The index trades about -0.21 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  156,004  in Russell 2000 on May 19, 2019 and sell it today you would lose (5,084)  from holding Russell 2000 or give up 3.26% of portfolio value over 30 days.

Pair Corralation between NIKKEI 225 and Russell 2000

0.87
Time Period2 Months [change]
DirectionPositive 
StrengthStrong
Accuracy87.5%
ValuesDaily Returns

Diversification Opportunities for NIKKEI 225 and Russell 2000

NIKKEI 225 diversification synergy

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding NIKKEI 225 and Russell 2000 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Russell 2000 and NIKKEI 225 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 NIKKEI 225 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 NIKKEI 225 i.e. NIKKEI 225 and Russell 2000 go up and down completely randomly.
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See also your portfolio center. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.


 
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