Correlation Analysis Between MerVal and NQPH

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

MerVal  vs.  NQPH

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to generate 4.87 times more return on investment than NQPH. However, MerVal is 4.87 times more volatile than NQPH. It trades about 0.25 of its potential returns per unit of risk. NQPH is currently generating about -0.27 per unit of risk. If you would invest  2,652,320  in MerVal on August 23, 2018 and sell it today you would earn a total of  770,874  from holding MerVal or generate 29.06% return on investment over 30 days.

Pair Corralation between MerVal and NQPH

-0.85
Time Period1 Month [change]
DirectionNegative 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Pay attention

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

 Predicted Return Density 
      Returns 

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Alphabet
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