Correlation Between Russell 2000 and Mid-cap 15x
Can any of the company-specific risk be diversified away by investing in both Russell 2000 and Mid-cap 15x 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 Mid-cap 15x 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 Mid Cap 15x Strategy, you can compare the effects of market volatilities on Russell 2000 and Mid-cap 15x 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 Mid-cap 15x. Check out your portfolio center. Please also check ongoing floating volatility patterns of Russell 2000 and Mid-cap 15x.
Diversification Opportunities for Russell 2000 and Mid-cap 15x
0.98 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Russell and Mid-cap is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding Russell 2000 15x and Mid Cap 15x Strategy in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mid Cap 15x 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 Mid-cap 15x. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mid Cap 15x has no effect on the direction of Russell 2000 i.e., Russell 2000 and Mid-cap 15x go up and down completely randomly.
Pair Corralation between Russell 2000 and Mid-cap 15x
Assuming the 90 days horizon Russell 2000 15x is expected to generate 1.22 times more return on investment than Mid-cap 15x. However, Russell 2000 is 1.22 times more volatile than Mid Cap 15x Strategy. It trades about 0.05 of its potential returns per unit of risk. Mid Cap 15x Strategy is currently generating about 0.06 per unit of risk. If you would invest 4,572 in Russell 2000 15x on September 3, 2024 and sell it today you would earn a total of 1,951 from holding Russell 2000 15x or generate 42.67% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Russell 2000 15x vs. Mid Cap 15x Strategy
Performance |
| Timeline |
| Russell 2000 15x |
| Mid Cap 15x |
Russell 2000 and Mid-cap 15x Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Russell 2000 and Mid-cap 15x
The main advantage of trading using opposite Russell 2000 and Mid-cap 15x positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Russell 2000 position performs unexpectedly, Mid-cap 15x 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 Mid-cap 15x will offset losses from the drop in Mid-cap 15x's long position.| Russell 2000 vs. Rationalpier 88 Convertible | Russell 2000 vs. Calamos Dynamic Convertible | Russell 2000 vs. Lord Abbett Convertible | Russell 2000 vs. Absolute Convertible Arbitrage |
| Mid-cap 15x vs. Internet Ultrasector Profund | Mid-cap 15x vs. Semiconductor Ultrasector Profund | Mid-cap 15x vs. Pharmaceuticals Ultrasector Profund | Mid-cap 15x vs. Technology Ultrasector Profund |
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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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