Correlation Analysis Between MerVal and XU100

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.
Horizon     30 Days    Login   to change
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Comparative Performance

 Predicted Return Density 

MerVal  vs.  XU100

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to under-perform the XU100. In addition to that, MerVal is 2.46 times more volatile than XU100. It trades about -0.01 of its total potential returns per unit of risk. XU100 is currently generating about -0.01 per unit of volatility. If you would invest  10,060,499  in XU100 on September 19, 2019 and sell it today you would lose (218,965)  from holding XU100 or give up 2.18% of portfolio value over 30 days.

Pair Corralation between MerVal and XU100

Time Period3 Months [change]
StrengthVery Weak
ValuesDaily Returns

Diversification Opportunities for MerVal and XU100

MerVal diversification synergy

Modest diversification

Overlapping area represents the amount of risk that can be diversified away by holding MerVal and XU100 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on XU100 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 XU100. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of XU100 has no effect on the direction of MerVal i.e. MerVal and XU100 go up and down completely randomly.
See also your portfolio center. Please also try Transaction History module to view history of all your transactions and understand their impact on performance.