Correlation Analysis Between MerVal and NQTH

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

MerVal  vs.  NQTH

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to generate 2.03 times more return on investment than NQTH. However, MerVal is 2.03 times more volatile than NQTH. It trades about 0.07 of its potential returns per unit of risk. NQTH is currently generating about -0.09 per unit of risk. If you would invest  2,959,818  in MerVal on November 13, 2018 and sell it today you would earn a total of  146,606  from holding MerVal or generate 4.95% return on investment over 30 days.

Pair Corralation between MerVal and NQTH

Time Period2 Months [change]
ValuesDaily Returns


MerVal diversification synergy

Significant diversification

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

Comparative Volatility

 Predicted Return Density 

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