Correlation Analysis Between NQEGT and MerVal

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

NQEGT  vs.  MerVal

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, NQEGT is expected to generate 0.27 times more return on investment than MerVal. However, NQEGT is 3.68 times less risky than MerVal. It trades about -0.36 of its potential returns per unit of risk. MerVal is currently generating about -0.13 per unit of risk. If you would invest  127,659  in NQEGT on June 21, 2018 and sell it today you would lose (7,406)  from holding NQEGT or give up 5.8% of portfolio value over 30 days.

Pair Corralation between NQEGT and MerVal

0.85
Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy76.67%
ValuesDaily Returns

Diversification

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding NQEGT and MerVal in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on MerVal and NQEGT 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 NQEGT 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 NQEGT i.e. NQEGT and MerVal go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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GOOG - USA Stock
Alphabet
Specialization
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Business Address1600 Amphitheatre Parkway
ExchangeNASDAQ
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