Correlation Analysis 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.
Horizon     30 Days    Login   to change
Compare Efficiency

Comparative Performance

 Predicted Return Density 

MerVal  vs.  Shanghai

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to generate 1.44 times more return on investment than Shanghai. However, MerVal is 1.44 times more volatile than Shanghai. It trades about 0.08 of its potential returns per unit of risk. Shanghai is currently generating about 0.04 per unit of risk. If you would invest  2,929,456  in MerVal on November 15, 2018 and sell it today you would earn a total of  181,489  from holding MerVal or generate 6.2% return on investment over 30 days.

Pair Corralation between MerVal and Shanghai

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for MerVal and Shanghai

MerVal diversification synergy

Good 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.

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See also your portfolio center. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.