Russell 2000 Related Correlations

RUT -  USA Index  

 1,888  49.66  2.70%

Generate correlation matrix for Russell 2000 and other related equities to check the degree to which Russell 2000 price movement is correlated to its related entities. Use comma (,) to separate each symbol. If not specified, the peers will be provided automatically based on Macroaxis sector classification standards for Russell 2000 . To filter out specific equities, please toggle its corresponding legend item. Check out Your Current Watchlist.
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Please note, there is a significant difference between Russell 2000's value and its price as these two are different measures arrived at by different means. Investors typically determine Russell 2000 value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Russell 2000's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.

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   
CRMMSFT
CRMF
UBERMSFT
MRKT
FUBER
CRMUBER
  
High negative correlations   

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 2.99  0.30  0.08  0.53  3.43  0.06 (3.20)  5.66 (5.40)  36.79 
MSFT 1.90 (0.09)  0.00 (0.07)  0.00 (0.0405)  0.00  3.20 (3.94)  9.36 
UBER 3.48 (0.50)  0.00 (0.30)  0.00 (0.12)  0.00  6.96 (6.82)  21.01 
F 2.55 (0.30)  0.00 (0.18)  0.00 (0.09)  0.00  3.93 (5.02)  14.29 
T 1.13  0.32  0.22  0.60  1.09  0.19 (1.31)  2.95 (2.40)  11.15 
A 2.07  0.05  0.02  0.04  2.52  0.021 (2.06)  3.19 (3.29)  10.94 
CRM 2.29 (0.29)  0.00 (0.19)  0.00 (0.10)  0.00  4.05 (4.44)  13.44 
JPM 1.65 (0.12)  0.00 (0.10)  0.00 (0.06)  0.00  3.31 (3.23)  7.69 
MRK 0.85  0.37  0.43  0.98  0.39  0.32 (1.05)  2.11 (1.17)  6.48 
XOM 1.71  0.42  0.13  1.15  2.68  0.18 (1.65)  3.60 (3.58)  12.38