This module allows you to analyze existing cross correlation between S&P 500 and MerVal. You can compare the effects of market volatilities on SP 500 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 SP 500 with a short position of MerVal. See also your portfolio center. Please also check ongoing floating volatility patterns of SP 500 and MerVal.
|Time Horizon||30 Days Login to change|
Assuming 30 trading days horizon, S&P 500 is expected to under-perform the MerVal. But the index apears to be less risky and, when comparing its historical volatility, S&P 500 is 1.61 times less risky than MerVal. The index trades about -0.14 of its potential returns per unit of risk. The MerVal is currently generating about -0.04 of returns per unit of risk over similar time horizon. If you would invest 3,389,342 in MerVal on January 23, 2018 and sell it today you would lose (85,112) from holding MerVal or give up 2.51% of portfolio value over 30 days.