This module allows you to analyze existing cross correlation between MerVal and FTSE MIB. You can compare the effects of market volatilities on MerVal and FTSE MIB 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 FTSE MIB. See also your portfolio center. Please also check ongoing floating volatility patterns of MerVal and FTSE MIB.
|Time Horizon||30 Days Login to change|
Assuming 30 trading days horizon, MerVal is expected to generate 3.58 times more return on investment than FTSE MIB. However, MerVal is 3.58 times more volatile than FTSE MIB. It trades about -0.04 of its potential returns per unit of risk. FTSE MIB is currently generating about -0.28 per unit of risk. If you would invest 3,359,170 in MerVal on January 19, 2018 and sell it today you would lose (91,445) from holding MerVal or give up 2.72% of portfolio value over 30 days.