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This module allows you to analyze existing cross correlation between Russell 2000 and Swiss Mrt. You can compare the effects of market volatilities on Russell 2000 and Swiss Mrt 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 Swiss Mrt. See also your portfolio center. Please also check ongoing floating volatility patterns of Russell 2000 and Swiss Mrt.
|Horizon||30 Days Login to change|
Predicted Return Density
Russell 2000 vs. Swiss Mrt
Given the investment horizon of 30 days, Russell 2000 is expected to generate 1.59 times more return on investment than Swiss Mrt. However, Russell 2000 is 1.59 times more volatile than Swiss Mrt. It trades about 0.38 of its potential returns per unit of risk. Swiss Mrt is currently generating about 0.29 per unit of risk. If you would invest 126,692 in Russell 2000 on January 21, 2019 and sell it today you would earn a total of 31,474 from holding Russell 2000 or generate 24.84% return on investment over 30 days.
Pair Corralation between Russell 2000 and Swiss Mrt
|Time Period||2 Months [change]|
Diversification Opportunities for Russell 2000 and Swiss Mrt
Very poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding Russell 2000 and Swiss Mrt in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Swiss Mrt 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 Swiss Mrt. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Swiss Mrt has no effect on the direction of Russell 2000 i.e. Russell 2000 and Swiss Mrt go up and down completely randomly.