Correlation Analysis Between MerVal and Swiss Mrt

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

MerVal  vs.  Swiss Mrt

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to generate 4.5 times more return on investment than Swiss Mrt. However, MerVal is 4.5 times more volatile than Swiss Mrt. It trades about -0.01 of its potential returns per unit of risk. Swiss Mrt is currently generating about -0.19 per unit of risk. If you would invest  3,019,878  in MerVal on September 15, 2018 and sell it today you would lose (60,060)  from holding MerVal or give up 1.99% of portfolio value over 30 days.

Pair Corralation between MerVal and Swiss Mrt

Time Period1 Month [change]
ValuesDaily Returns


Very weak diversification

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

Comparative Volatility

 Predicted Return Density 

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See also your portfolio center. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.