Pair Correlation Between MerVal and Stockholm

This module allows you to analyze existing cross correlation between MerVal and Stockholm. You can compare the effects of market volatilities on MerVal and Stockholm 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 Stockholm. See also your portfolio center. Please also check ongoing floating volatility patterns of MerVal and Stockholm.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 MerVal  vs   Stockholm
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to generate 3.487813986292576E14 times more return on investment than Stockholm. However, MerVal is 3.487813986292576E14 times more volatile than Stockholm. It trades about 0.21 of its potential returns per unit of risk. Stockholm is currently generating about -0.14 per unit of risk. If you would invest  2,680,455  in MerVal on October 19, 2017 and sell it today you would earn a total of  46,275  from holding MerVal or generate 1.73% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between MerVal and Stockholm
-0.12

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Good diversification

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

 Predicted Return Density 
      Returns