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|
Predicted Return Density
DAX vs. MerVal
Assuming 30 trading days horizon, DAX is expected to generate 0.22 times more return on investment than MerVal. However, DAX is 4.64 times less risky than MerVal. It trades about 0.02 of its potential returns per unit of risk. MerVal is currently generating about -0.03 per unit of risk. If you would invest 1,234,103 in DAX on September 15, 2019 and sell it today you would earn a total of 19,739 from holding DAX or generate 1.6% return on investment over 30 days.
Pair Corralation between DAX and MerVal
|Time Period||3 Months [change]|
Diversification Opportunities for DAX and MerVal
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.
See also your portfolio center. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.