Correlation Analysis Between MerVal and Taiwan Wtd

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

MerVal  vs.  Taiwan Wtd

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to under-perform the Taiwan Wtd. In addition to that, MerVal is 5.1 times more volatile than Taiwan Wtd. It trades about -0.12 of its total potential returns per unit of risk. Taiwan Wtd is currently generating about -0.11 per unit of volatility. If you would invest  1,108,747  in Taiwan Wtd on June 15, 2018 and sell it today you would lose (22,293)  from holding Taiwan Wtd or give up 2.01% of portfolio value over 30 days.

Pair Corralation between MerVal and Taiwan Wtd

Time Period1 Month [change]
ValuesDaily Returns


Very poor diversification

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

Comparative Volatility

 Predicted Return Density 

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