Correlation Analysis Between Russell 2000 and ATX

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

Comparative Performance

 Predicted Return Density 

Russell 2000   vs.  ATX

 Performance (%) 

Pair Volatility

Given the investment horizon of 30 days, Russell 2000 is expected to generate 0.82 times more return on investment than ATX. However, Russell 2000 is 1.22 times less risky than ATX. It trades about 0.33 of its potential returns per unit of risk. ATX is currently generating about 0.14 per unit of risk. If you would invest  129,209  in Russell 2000 on January 20, 2019 and sell it today you would earn a total of  28,081  from holding Russell 2000 or generate 21.73% return on investment over 30 days.

Pair Corralation between Russell 2000 and ATX

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for Russell 2000 and ATX

Russell 2000  diversification synergy

Very good diversification

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

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