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|
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.