Correlation Analysis Between MerVal and Russia TR

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

MerVal  vs.  Russia TR

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to under-perform the Russia TR. In addition to that, MerVal is 2.43 times more volatile than Russia TR. It trades about -0.18 of its total potential returns per unit of risk. Russia TR is currently generating about 0.19 per unit of volatility. If you would invest  106,488  in Russia TR on June 20, 2018 and sell it today you would earn a total of  5,473  from holding Russia TR or generate 5.14% return on investment over 30 days.

Pair Corralation between MerVal and Russia TR

-0.34
Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy86.21%
ValuesDaily Returns

Diversification

Very good diversification

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

 Predicted Return Density 
      Returns 

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