Correlation Analysis 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.
 Time 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 generate 0.87 times more return on investment than MerVal. However, IPC is 1.15 times less risky than MerVal. It trades about 0.07 of its potential returns per unit of risk. MerVal is currently generating about 0.0 per unit of risk. If you would invest  4,703,127  in IPC on July 18, 2018 and sell it today you would earn a total of  102,779  from holding IPC or generate 2.19% return on investment over 30 days.

Pair Corralation between IPC and MerVal

-0.81
Time Period1 Month [change]
DirectionNegative 
StrengthSignificant
Accuracy74.19%
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 

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