Correlation Analysis Between MerVal and SP 500

This module allows you to analyze existing cross correlation between MerVal and S&P 500. You can compare the effects of market volatilities on MerVal and SP 500 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 SP 500. See also your portfolio center. Please also check ongoing floating volatility patterns of MerVal and SP 500.
Horizon     30 Days    Login   to change

MerVal  vs.  S&P 500

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to generate 3.89 times more return on investment than SP 500. However, MerVal is 3.89 times more volatile than S&P 500. It trades about -0.01 of its potential returns per unit of risk. S&P 500 is currently generating about -0.22 per unit of risk. If you would invest  3,019,878  in MerVal on September 15, 2018 and sell it today you would lose (60,060)  from holding MerVal or give up 1.99% of portfolio value over 30 days.

Pair Corralation between MerVal and SP 500

Time Period1 Month [change]
ValuesDaily Returns


Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding MerVal and S&P 500 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SP 500 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 SP 500. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SP 500 has no effect on the direction of MerVal i.e. MerVal and SP 500 go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 

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