Correlation Analysis Between Russell 2000 and XU100

This module allows you to analyze existing cross correlation between Russell 2000 and XU100. You can compare the effects of market volatilities on Russell 2000 and XU100 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 XU100. See also your portfolio center. Please also check ongoing floating volatility patterns of Russell 2000 and XU100.
Horizon     30 Days    Login   to change
Compare Efficiency

Comparative Performance

 Predicted Return Density 

Russell 2000   vs.  XU100

 Performance (%) 

Pair Volatility

Given the investment horizon of 30 days, Russell 2000 is expected to generate 1.12 times less return on investment than XU100. But when comparing it to its historical volatility, Russell 2000 is 1.17 times less risky than XU100. It trades about 0.33 of its potential returns per unit of risk. XU100 is currently generating about 0.31 of returns per unit of risk over similar time horizon. If you would invest  9,121,239  in XU100 on January 20, 2019 and sell it today you would earn a total of  1,052,975  from holding XU100 or generate 11.54% return on investment over 30 days.

Pair Corralation between Russell 2000 and XU100

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for Russell 2000 and XU100

Russell 2000  diversification synergy

Average diversification

Overlapping area represents the amount of risk that can be diversified away by holding Russell 2000 and XU100 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on XU100 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 XU100. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of XU100 has no effect on the direction of Russell 2000 i.e. Russell 2000 and XU100 go up and down completely randomly.

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See also your portfolio center. Please also try World Markets Correlation module to find global opportunities by holding instruments from different markets.