Correlation Analysis Between MerVal and Seoul Comp

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

MerVal  vs.  Seoul Comp

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to generate 3.36 times more return on investment than Seoul Comp. However, MerVal is 3.36 times more volatile than Seoul Comp. It trades about -0.01 of its potential returns per unit of risk. Seoul Comp is currently generating about -0.28 per unit of risk. If you would invest  3,019,878  in MerVal on September 16, 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 Seoul Comp

Time Period1 Month [change]
ValuesDaily Returns


Pay attention

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

Comparative Volatility

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