Correlation Analysis Between MerVal and Jakarta Comp

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

MerVal  vs.  Jakarta Comp

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to generate 2.46 times more return on investment than Jakarta Comp. However, MerVal is 2.46 times more volatile than Jakarta Comp. It trades about 0.05 of its potential returns per unit of risk. Jakarta Comp is currently generating about 0.04 per unit of risk. If you would invest  2,959,818  in MerVal on October 13, 2018 and sell it today you would earn a total of  46,669  from holding MerVal or generate 1.58% return on investment over 30 days.

Pair Corralation between MerVal and Jakarta Comp

Time Period1 Month [change]
ValuesDaily Returns


MerVal diversification synergy

Very weak diversification

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

Comparative Volatility

 Predicted Return Density 

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See also your portfolio center. Please also try Balance Of Power module to check stock momentum by analyzing balance of power indicator and other technical ratios.