Correlation Between NYSE Composite and RTSI Index
Can any of the company-specific risk be diversified away by investing in both NYSE Composite and RTSI Index 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 NYSE Composite and RTSI Index into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between NYSE Composite and RTSI Index, you can compare the effects of market volatilities on NYSE Composite and RTSI Index 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 NYSE Composite with a short position of RTSI Index. Check out your portfolio center. Please also check ongoing floating volatility patterns of NYSE Composite and RTSI Index.
Diversification Opportunities for NYSE Composite and RTSI Index
0.29 | Correlation Coefficient |
Modest diversification
The 3 months correlation between NYSE and RTSI is 0.29. Overlapping area represents the amount of risk that can be diversified away by holding NYSE Composite and RTSI Index in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on RTSI Index and NYSE Composite 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 NYSE Composite are associated (or correlated) with RTSI Index. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of RTSI Index has no effect on the direction of NYSE Composite i.e., NYSE Composite and RTSI Index go up and down completely randomly.
Pair Corralation between NYSE Composite and RTSI Index
Assuming the 90 days trading horizon NYSE Composite is expected to under-perform the RTSI Index. In addition to that, NYSE Composite is 1.17 times more volatile than RTSI Index. It trades about -0.18 of its total potential returns per unit of risk. RTSI Index is currently generating about 0.3 per unit of volatility. If you would invest 114,730 in RTSI Index on January 30, 2024 and sell it today you would earn a total of 4,119 from holding RTSI Index or generate 3.59% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Weak |
Accuracy | 100.0% |
Values | Daily Returns |
NYSE Composite vs. RTSI Index
Performance |
Timeline |
NYSE Composite and RTSI Index Volatility Contrast
Predicted Return Density |
Returns |
NYSE Composite
Pair trading matchups for NYSE Composite
RTSI Index
Pair trading matchups for RTSI Index
Pair Trading with NYSE Composite and RTSI Index
The main advantage of trading using opposite NYSE Composite and RTSI Index positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if NYSE Composite position performs unexpectedly, RTSI Index 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 RTSI Index will offset losses from the drop in RTSI Index's long position.NYSE Composite vs. Dennys Corp | NYSE Composite vs. Asbury Automotive Group | NYSE Composite vs. Arrow Electronics | NYSE Composite vs. Biglari Holdings |
RTSI Index vs. KAMAZ Publicly Traded | RTSI Index vs. Novolipetsk Steel PAO | RTSI Index vs. Sovcombank | RTSI Index vs. Chelyabinsk Metallurg Kombinat |
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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
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