Pair Correlation Between MerVal and DAX

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

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to under-perform the DAX. In addition to that, MerVal is 2.17 times more volatile than DAX. It trades about -0.14 of its total potential returns per unit of risk. DAX is currently generating about -0.27 per unit of volatility. If you would invest  1,329,836  in DAX on January 25, 2018 and sell it today you would lose (81,457)  from holding DAX or give up 6.13% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between MerVal and DAX
0.86

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy95.24%
ValuesDaily Returns

Diversification

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding MerVal and DAX in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on DAX and MerVal 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 MerVal are associated (or correlated) with DAX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of DAX has no effect on the direction of MerVal i.e. MerVal and DAX go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns