Pair Correlation Between All Ords and MerVal

This module allows you to analyze existing cross correlation between All Ords and MerVal. You can compare the effects of market volatilities on All Ords and MerVal 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 All Ords with a short position of MerVal. See also your portfolio center. Please also check ongoing floating volatility patterns of All Ords and MerVal.
 Time Horizon     30 Days    Login   to change
 All Ords  vs   MerVal
 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, All Ords is expected to under-perform the MerVal. But the index apears to be less risky and, when comparing its historical volatility, All Ords is 3.92 times less risky than MerVal. The index trades about -0.13 of its potential returns per unit of risk. The MerVal is currently generating about 0.54 of returns per unit of risk over similar time horizon. If you would invest  2,918,562  in MerVal on December 23, 2017 and sell it today you would earn a total of  440,608  from holding MerVal or generate 15.1% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between All Ords and MerVal


Time Period1 Month [change]
ValuesDaily Returns


Significant diversification

Overlapping area represents the amount of risk that can be diversified away by holding All Ords and MerVal in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on MerVal and All Ords 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 All Ords are associated (or correlated) with MerVal. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MerVal has no effect on the direction of All Ords i.e. All Ords and MerVal go up and down completely randomly.

Comparative Volatility

 Predicted Return Density