Pair Correlation Between IPC and MerVal

This module allows you to analyze existing cross correlation between IPC and MerVal. You can compare the effects of market volatilities on IPC and MerVal 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 IPC with a short position of MerVal. See also your portfolio center. Please also check ongoing floating volatility patterns of IPC and MerVal.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 IPC  vs   MerVal
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, IPC is expected to under-perform the MerVal. But the index apears to be less risky and, when comparing its historical volatility, IPC is 2.466979708282216E14 times less risky than MerVal. The index trades about -0.26 of its potential returns per unit of risk. The MerVal is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest  2,697,898  in MerVal on October 20, 2017 and sell it today you would earn a total of  14,952  from holding MerVal or generate 0.55% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between IPC and MerVal
0.0

Parameters

Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy95.45%
ValuesDaily Returns

Diversification

Pay attention

Overlapping area represents the amount of risk that can be diversified away by holding IPC and MerVal in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on MerVal and IPC 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 IPC are associated (or correlated) with MerVal. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MerVal has no effect on the direction of IPC i.e. IPC and MerVal go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns