Correlation Analysis Between MerVal and NQEGT |
This module allows you to analyze existing cross correlation between MerVal and NQEGT. You can compare the effects of market volatilities on MerVal and NQEGT 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 NQEGT. See also your portfolio center. Please also check ongoing floating volatility patterns of MerVal and NQEGT.
| Time Horizon | 30 Days Login to change |
| Symbols | vs |
MerVal vs. NQEGT
Pair Volatility
Assuming 30 trading days horizon, MerVal is expected to under-perform the NQEGT. In addition to that, MerVal is 3.64 times more volatile than NQEGT. It trades about -0.1 of its total potential returns per unit of risk. NQEGT is currently generating about -0.37 per unit of volatility. If you would invest 127,659 in NQEGT on June 22, 2018 and sell it today you would lose (7,406) from holding NQEGT or give up 5.8% of portfolio value over 30 days.
Pair Corralation between MerVal and NQEGT
0.83
| Time Period | 1 Month [change] |
| Direction | Positive |
| Strength | Strong |
| Accuracy | 75.86% |
| Values | Daily Returns |
Diversification
Very poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding MerVal and NQEGT in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NQEGT 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 NQEGT. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NQEGT has no effect on the direction of MerVal i.e. MerVal and NQEGT go up and down completely randomly.
Comparative Volatility
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See also your portfolio center. Please also try Volatility Analysis module to get historical volatility and risk analysis based on latest market data.