|Horizon||30 Days Login to change|
MerVal vs. NYSE
Assuming 30 trading days horizon, MerVal is expected to under-perform the NYSE. In addition to that, MerVal is 1.78 times more volatile than NYSE. It trades about -0.02 of its total potential returns per unit of risk. NYSE is currently generating about -0.02 per unit of volatility. If you would invest 1,243,942 in NYSE on October 14, 2018 and sell it today you would lose (9,591) from holding NYSE or give up 0.77% of portfolio value over 30 days.
Pair Corralation between MerVal and NYSE