Pair Correlation Between Jakarta Comp and MerVal

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

Pair Volatility

Assuming 30 trading days horizon, Jakarta Comp is expected to under-perform the MerVal. But the index apears to be less risky and, when comparing its historical volatility, Jakarta Comp is 1.58 times less risky than MerVal. The index trades about -0.26 of its potential returns per unit of risk. The MerVal is currently generating about -0.06 of returns per unit of risk over similar time horizon. If you would invest  3,304,230  in MerVal on February 21, 2018 and sell it today you would lose (67,271)  from holding MerVal or give up 2.04% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Jakarta Comp and MerVal


Time Period1 Month [change]
StrengthVery Strong
ValuesDaily Returns


No risk reduction

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

Comparative Volatility

 Predicted Return Density