SPX6900 (SPX) is 287.0× the size of RUSSELL (RUSSELL) by market capitalisation. Over the past 30 days, SPX is ahead by 8.8 percentage points (RUSSELL -33.1% against SPX -24.3%). Their daily returns move barely together (correlation 0.31 across 28 shared trading days). Both have run at a similar volatility, around 119% annualised.
RUSSELLSPX
0.31over 28 shared trading days
Measured on daily returns rather than on prices. Two assets that both simply trend upward score near 1.0 on raw prices whether or not they move together, so returns are what answer the question people mean by correlation.
| Metric | RUSSELL | SPX |
|---|---|---|
| Max drawdown (400d) | -53.5% | -42.9% |
| Risk-adjusted return (90d) | -0.42 | 0.14 |
Relative strength over 90 days: SPX outperformed RUSSELL by 28.9% — measured on the RUSSELL/SPX ratio, so it holds regardless of market direction.