Pair Correlation Between MerVal and NIKKEI 225

This module allows you to analyze existing cross correlation between MerVal and NIKKEI 225. You can compare the effects of market volatilities on MerVal and NIKKEI 225 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 NIKKEI 225. See also your portfolio center. Please also check ongoing floating volatility patterns of MerVal and NIKKEI 225.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 MerVal  vs   NIKKEI 225
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to generate 2.259435099622932E14 times more return on investment than NIKKEI 225. However, MerVal is 2.259435099622932E14 times more volatile than NIKKEI 225. It trades about 0.22 of its potential returns per unit of risk. NIKKEI 225 is currently generating about 0.14 per unit of risk. If you would invest  2,778,260  in MerVal on October 22, 2017 and sell it today you would lose (65,410)  from holding MerVal or give up 2.35% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between MerVal and NIKKEI 225
-0.32

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding MerVal and NIKKEI 225 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NIKKEI 225 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 NIKKEI 225. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NIKKEI 225 has no effect on the direction of MerVal i.e. MerVal and NIKKEI 225 go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns