Correlation Between Russell 2000 and Sp Midcap
Can any of the company-specific risk be diversified away by investing in both Russell 2000 and Sp Midcap at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Russell 2000 and Sp Midcap into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Russell 2000 15x and Sp Midcap 400, you can compare the effects of market volatilities on Russell 2000 and Sp Midcap 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 Sp Midcap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Russell 2000 and Sp Midcap.
Diversification Opportunities for Russell 2000 and Sp Midcap
-0.47 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Russell and RYCKX is -0.47. Overlapping area represents the amount of risk that can be diversified away by holding Russell 2000 15x and Sp Midcap 400 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sp Midcap 400 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 15x are associated (or correlated) with Sp Midcap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sp Midcap 400 has no effect on the direction of Russell 2000 i.e., Russell 2000 and Sp Midcap go up and down completely randomly.
Pair Corralation between Russell 2000 and Sp Midcap
Assuming the 90 days horizon Russell 2000 15x is expected to generate 1.23 times more return on investment than Sp Midcap. However, Russell 2000 is 1.23 times more volatile than Sp Midcap 400. It trades about 0.06 of its potential returns per unit of risk. Sp Midcap 400 is currently generating about 0.01 per unit of risk. If you would invest 4,722 in Russell 2000 15x on November 9, 2024 and sell it today you would earn a total of 1,215 from holding Russell 2000 15x or generate 25.73% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 86.52% |
| Values | Daily Returns |
Russell 2000 15x vs. Sp Midcap 400
Performance |
| Timeline |
| Russell 2000 15x |
Risk-Adjusted Performance
Very Weak
Weak | Strong |
| Sp Midcap 400 |
Russell 2000 and Sp Midcap Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Russell 2000 and Sp Midcap
The main advantage of trading using opposite Russell 2000 and Sp Midcap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Russell 2000 position performs unexpectedly, Sp Midcap can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Sp Midcap will offset losses from the drop in Sp Midcap's long position.| Russell 2000 vs. Rational Special Situations | Russell 2000 vs. Ab Bond Inflation | Russell 2000 vs. Morningstar Defensive Bond | Russell 2000 vs. Barings High Yield |
| Sp Midcap vs. Financial Services Portfolio | Sp Midcap vs. Putnam Global Financials | Sp Midcap vs. Prudential Financial Services | Sp Midcap vs. Financial Industries Fund |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Dashboard module to portfolio dashboard that provides centralized access to all your investments.
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