This module allows you to analyze existing cross correlation between MerVal and XU100. You can compare the effects of market volatilities on MerVal and XU100 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 XU100. See also your portfolio center. Please also check ongoing floating volatility patterns of MerVal and XU100.
|Time Horizon||30 Days Login to change|
MerVal vs. XU100
Assuming 30 trading days horizon, MerVal is expected to generate 1.15 times more return on investment than XU100. However, MerVal is 1.15 times more volatile than XU100. It trades about -0.1 of its potential returns per unit of risk. XU100 is currently generating about -0.15 per unit of risk. If you would invest 3,236,001 in MerVal on March 26, 2018 and sell it today you would lose (179,115) from holding MerVal or give up 5.54% of portfolio value over 30 days.