Correlation Between Russell 2000 and Western Asset
Can any of the company-specific risk be diversified away by investing in both Russell 2000 and Western Asset 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 Western Asset into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Russell 2000 2x and Western Asset Municipal, you can compare the effects of market volatilities on Russell 2000 and Western Asset 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 Western Asset. Check out your portfolio center. Please also check ongoing floating volatility patterns of Russell 2000 and Western Asset.
Diversification Opportunities for Russell 2000 and Western Asset
-0.41 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Russell and Western is -0.41. Overlapping area represents the amount of risk that can be diversified away by holding Russell 2000 2x and Western Asset Municipal in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Western Asset Municipal 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 2x are associated (or correlated) with Western Asset. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Western Asset Municipal has no effect on the direction of Russell 2000 i.e., Russell 2000 and Western Asset go up and down completely randomly.
Pair Corralation between Russell 2000 and Western Asset
Assuming the 90 days horizon Russell 2000 2x is expected to under-perform the Western Asset. In addition to that, Russell 2000 is 9.98 times more volatile than Western Asset Municipal. It trades about -0.11 of its total potential returns per unit of risk. Western Asset Municipal is currently generating about 0.23 per unit of volatility. If you would invest 726.00 in Western Asset Municipal on September 12, 2024 and sell it today you would earn a total of 7.00 from holding Western Asset Municipal or generate 0.96% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Russell 2000 2x vs. Western Asset Municipal
Performance |
| Timeline |
| Russell 2000 2x |
| Western Asset Municipal |
Russell 2000 and Western Asset Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Russell 2000 and Western Asset
The main advantage of trading using opposite Russell 2000 and Western Asset positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Russell 2000 position performs unexpectedly, Western Asset 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 Western Asset will offset losses from the drop in Western Asset's long position.| Russell 2000 vs. Nasdaq 100 2x Strategy | Russell 2000 vs. Nasdaq 100 2x Strategy | Russell 2000 vs. Nasdaq 100 2x Strategy | Russell 2000 vs. Ultra Nasdaq 100 Profunds |
| Western Asset vs. Barings Active Short | Western Asset vs. Cmg Ultra Short | Western Asset vs. Blackrock Short Term Inflat Protected | Western Asset vs. Rbc Short Duration |
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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
Other Complementary Tools
| Crypto Correlations Use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins | |
| My Watchlist Analysis Analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like | |
| Economic Indicators Top statistical indicators that provide insights into how an economy is performing | |
| Financial Widgets Easily integrated Macroaxis content with over 30 different plug-and-play financial widgets | |
| Portfolio File Import Quickly import all of your third-party portfolios from your local drive in csv format |