Correlation Analysis Between DAX and MerVal

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

 Predicted Return Density 
      Returns 

DAX  vs.  MerVal

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, DAX is expected to under-perform the MerVal. But the index apears to be less risky and, when comparing its historical volatility, DAX is 1.67 times less risky than MerVal. The index trades about -0.1 of its potential returns per unit of risk. The MerVal is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest  2,959,818  in MerVal on November 14, 2018 and sell it today you would earn a total of  142,817  from holding MerVal or generate 4.83% return on investment over 30 days.

Pair Corralation between DAX and MerVal

-0.36
Time Period2 Months [change]
DirectionNegative 
StrengthInsignificant
Accuracy93.33%
ValuesDaily Returns

Diversification Opportunities for DAX and MerVal

DAX diversification synergy

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding DAX and MerVal in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on MerVal and DAX 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 DAX 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 DAX i.e. DAX and MerVal go up and down completely randomly.
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