Pair Correlation Between MerVal and NYSE

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

MerVal  vs.  NYSE

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to under-perform the NYSE. In addition to that, MerVal is 1.0 times more volatile than NYSE. It trades about -0.17 of its total potential returns per unit of risk. NYSE is currently generating about -0.06 per unit of volatility. If you would invest  1,299,962  in NYSE on March 27, 2018 and sell it today you would lose (48,176)  from holding NYSE or give up 3.71% of portfolio value over 30 days.

Pair Corralation between MerVal and NYSE

1.0
Time Period2 Months [change]
DirectionPositive 
StrengthVery Strong
Accuracy96.0%
ValuesDaily Returns

Diversification

No risk reduction

Overlapping area represents the amount of risk that can be diversified away by holding MerVal and NYSE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NYSE 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 NYSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NYSE has no effect on the direction of MerVal i.e. MerVal and NYSE 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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ExchangeNASDAQ
$1047.0

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See also your portfolio center. Please also try Price Ceiling Movement module to calculate and plot price ceiling movement for different equity instruments.