Pair Correlation Between MerVal and OSE All

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

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to under-perform the OSE All. In addition to that, MerVal is 2.39 times more volatile than OSE All. It trades about -0.1 of its total potential returns per unit of risk. OSE All is currently generating about -0.14 per unit of volatility. If you would invest  93,937  in OSE All on January 24, 2018 and sell it today you would lose (3,035)  from holding OSE All or give up 3.23% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between MerVal and OSE All


Time Period1 Month [change]
ValuesDaily Returns


Poor diversification

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

Comparative Volatility

 Predicted Return Density