This module allows you to analyze existing cross correlation between NYSE and Russell 2000 . You can compare the effects of market volatilities on NYSE 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 NYSE with a short position of Russell 2000. See also your portfolio center
. Please also check ongoing floating volatility patterns of NYSE
and Russell 2000
NYSE vs. Russell 2000
Given the investment horizon of 30 days, NYSE is expected to under-perform the Russell 2000. But the index apears to be less risky and, when comparing its historical volatility, NYSE is 1.21 times less risky than Russell 2000. The index trades about -0.03 of its potential returns per unit of risk. The Russell 2000 is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest 154,919 in Russell 2000 on March 25, 2018 and sell it today you would earn a total of 1,293 from holding Russell 2000 or generate 0.83% return on investment over 30 days.
Pair Corralation between NYSE and Russell 2000
|Time Period||2 Months [change]|
Almost no diversification
Overlapping area represents the amount of risk that can be diversified away by holding NYSE and Russell 2000 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Russell 2000 and NYSE 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 NYSE 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 NYSE i.e. NYSE and Russell 2000 go up and down completely randomly.
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