Pair Correlation Between MerVal and Shanghai

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

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to generate 2.16 times more return on investment than Shanghai. However, MerVal is 2.16 times more volatile than Shanghai. It trades about -0.07 of its potential returns per unit of risk. Shanghai is currently generating about -0.39 per unit of risk. If you would invest  3,404,935  in MerVal on January 18, 2018 and sell it today you would lose (137,210)  from holding MerVal or give up 4.03% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between MerVal and Shanghai


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 Shanghai in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Shanghai 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 Shanghai. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Shanghai has no effect on the direction of MerVal i.e. MerVal and Shanghai go up and down completely randomly.

Comparative Volatility

 Predicted Return Density