This module allows you to analyze existing cross correlation between MerVal and DOW. You can compare the effects of market volatilities on MerVal and DOW 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 MerVal with a short position of DOW. See also your portfolio center. Please also check ongoing floating volatility patterns of MerVal and DOW.
|Time Horizon||30 Days Login to change|
MerVal vs. DOW
Assuming 30 trading days horizon, MerVal is expected to under-perform the DOW. But the index apears to be less risky and, when comparing its historical volatility, MerVal is 1.28 times less risky than DOW. The index trades about -0.17 of its potential returns per unit of risk. The DOW is currently generating about -0.07 of returns per unit of risk over similar time horizon. If you would invest 2,570,927 in DOW on March 28, 2018 and sell it today you would lose (138,693) from holding DOW or give up 5.39% of portfolio value over 30 days.