Correlation Analysis Between MerVal and ISEQ

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

Comparative Performance

 Predicted Return Density 

MerVal  vs.  ISEQ

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to generate 1.47 times more return on investment than ISEQ. However, MerVal is 1.47 times more volatile than ISEQ. It trades about 0.07 of its potential returns per unit of risk. ISEQ is currently generating about -0.15 per unit of risk. If you would invest  2,959,818  in MerVal on November 13, 2018 and sell it today you would earn a total of  142,161  from holding MerVal or generate 4.8% return on investment over 30 days.

Pair Corralation between MerVal and ISEQ

Time Period2 Months [change]
StrengthVery Weak
ValuesDaily Returns

Diversification Opportunities for MerVal and ISEQ

MerVal diversification synergy

Very good diversification

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

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See also your portfolio center. Please also try Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.