Pair Correlation 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.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 MerVal  vs   Taiwan Wtd
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to generate 5.970646059757069E14 times more return on investment than Taiwan Wtd. However, MerVal is 5.970646059757069E14 times more volatile than Taiwan Wtd. It trades about 0.22 of its potential returns per unit of risk. Taiwan Wtd is currently generating about -0.04 per unit of risk. If you would invest  2,778,260  in MerVal on October 21, 2017 and sell it today you would lose (65,410)  from holding MerVal or give up 2.35% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between MerVal and Taiwan Wtd
-0.3

Parameters

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

Diversification

Very good 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.
    Optimize

Comparative Volatility

 Predicted Return Density 
      Returns