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|
MerVal vs. Russia TR
Assuming 30 trading days horizon, MerVal is expected to under-perform the Russia TR. But the index apears to be less risky and, when comparing its historical volatility, MerVal is 1.65 times less risky than Russia TR. The index trades about -0.11 of its potential returns per unit of risk. The Russia TR is currently generating about -0.04 of returns per unit of risk over similar time horizon. If you would invest 115,036 in Russia TR on March 21, 2018 and sell it today you would lose (4,351) from holding Russia TR or give up 3.78% of portfolio value over 30 days.