Russell 2000 Correlations

RUT
 Index
  

 1,728  19.77  1.16%   

The correlation of Russell 2000 is a statistical measure of how it moves in relation to other equities. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Russell 2000 moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Russell 2000 moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
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The ability to find closely correlated positions to Russell 2000 could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Russell 2000 when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Russell 2000 - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Russell 2000 to buy it.

Moving together with Russell 2000

0.83FBMeta Platforms OldPairCorr
0.66TCEHYTencent Holdings ADRPairCorr
0.65TCTZFTencent HoldingsPairCorr
0.61NYANYSEPairCorr
0.74MREOMereo Biopharma GroupPairCorr
0.64DDDupont DenemoursPairCorr

Moving against Russell 2000

0.65PLABPhotronics Fiscal Year End 14th of December 2022 PairCorr
0.62UNHUnitedhealth GroupPairCorr
0.55GENQGenesis Unicorn CapitalPairCorr
0.53AVTAvnet Inc Fiscal Year End 10th of August 2022 PairCorr
0.85XOMExxon Mobil CorpPairCorr
0.77KOCoca-ColaPairCorr

Related Correlations

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Correlation Matchups

The Correlation Coefficient is a useful tool to identify correlated or non-correlated securities, which is essential in developing a diversified portfolio. It tells us the relationship between two positions you have in your portfolio or considering acquiring. Over a given time period, the two securities movetogether when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.
High positive correlations   
JPMCRM
XOMMRK
CRMA
UBERTWTR
FMSFT
JPMA
  
High negative correlations   
XOMUBER
MRKUBER
XOMTWTR
XOMJPM
TMSFT
XOMCRM

Russell 2000 Competition Risk-Adjusted Indicators

Nowadays, there is a big difference between Russell 2000 stock performing well and Russell 2000 index doing well compared to the competition. There are way too many exceptions to the normal that investors can tell for sure what's good or bad unless they analyze Russell 2000's multiple risk-adjusted performance indicators. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.
Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
TWTR 2.20 (0.08)  0.00 (0.09)  0.00 (0.0242)  0.00  4.30 (4.49)  36.79 
MSFT 1.28  0.03  0.02  0.02  1.67  0.0198 (1.31)  2.56 (2.93)  9.66 
UBER 2.63 (0.23)  0.00 (0.14)  0.00 (0.07)  0.00  5.72 (5.27)  23.07 
F 2.14  0.03  0.01  0.01  2.63  0.0099 (2.36)  4.43 (4.23)  21.38 
T 1.00  0.03  0.02  0.04  1.44  0.025 (1.01)  2.21 (1.97)  15.39 
A 1.30  0.01  0.00  0.00  1.81  0.0031 (1.24)  2.80 (3.15)  10.94 
CRM 1.71 (0.07)  0.00 (0.05)  0.00 (0.0295)  0.00  3.42 (3.90)  18.95 
JPM 1.22 (0.04)  0.00 (0.04)  0.00 (0.0243)  0.00  2.26 (2.78)  10.78 
MRK 0.94  0.09  0.07  0.21  1.31  0.07 (0.99)  2.10 (1.71)  18.25 
XOM 1.56  0.19  0.09  0.23  1.90  0.1 (1.61)  3.59 (3.05)  14.29 

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Russell 2000 Distribution of Returns

 Predicted Return Density 
      Returns 
Russell 2000's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Russell 2000 stock's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a Company's Stock Price Volatility?

Several factors can influence a company's stock volatility:

Industry

Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.

Political and Economic environment

When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.

The Company's Performance

Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.

Russell 2000 Against Global Markets

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Check out Your Current Watchlist. Note that the Russell 2000 information on this page should be used as a complementary analysis to other Russell 2000's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try Global Correlations module to find global opportunities by holding instruments from different markets.

Other Tools for Russell Index

When running Russell 2000 price analysis, check to measure Russell 2000's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Russell 2000 is operating at the current time. Most of Russell 2000's value examination focuses on studying past and present price action to predict the probability of Russell 2000's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Russell 2000's price. Additionally, you may evaluate how the addition of Russell 2000 to your portfolios can decrease your overall portfolio volatility.
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