Correlation Analysis Between MerVal and Nasdaq

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

Comparative Performance

 Predicted Return Density 

MerVal  vs.  Nasdaq

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to generate 1.13 times more return on investment than Nasdaq. However, MerVal is 1.13 times more volatile than Nasdaq. It trades about 0.08 of its potential returns per unit of risk. Nasdaq is currently generating about -0.12 per unit of risk. If you would invest  2,926,300  in MerVal on November 16, 2018 and sell it today you would earn a total of  184,645  from holding MerVal or generate 6.31% return on investment over 30 days.

Pair Corralation between MerVal and Nasdaq

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for MerVal and Nasdaq

MerVal diversification synergy

Very good diversification

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

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