Pair Correlation Between MerVal and Greece TR

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

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to generate 1.3478850678399852E14 times more return on investment than Greece TR. However, MerVal is 1.3478850678399852E14 times more volatile than Greece TR. It trades about 0.21 of its potential returns per unit of risk. Greece TR is currently generating about -0.2 per unit of risk. If you would invest  2,680,455  in MerVal on October 19, 2017 and sell it today you would earn a total of  46,275  from holding MerVal or generate 1.73% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between MerVal and Greece TR
-0.18

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy95.45%
ValuesDaily Returns

Diversification

Good diversification

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

 Predicted Return Density 
      Returns