Pair Correlation Between Nasdaq and MerVal

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

Pair Volatility

Assuming 30 trading days horizon, Nasdaq is expected to generate 2.3252589212055047E14 times less return on investment than MerVal. But when comparing it to its historical volatility, Nasdaq is 3.083144442570954E14 times less risky than MerVal. It trades about 0.28 of its potential returns per unit of risk. MerVal is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest  2,778,260  in MerVal on October 23, 2017 and sell it today you would lose (51,655)  from holding MerVal or give up 1.86% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Nasdaq and MerVal
-0.14

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy95.65%
ValuesDaily Returns

Diversification

Good diversification

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

 Predicted Return Density 
      Returns