Pair Correlation Between NQFI and MerVal

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

Pair Volatility

Assuming 30 trading days horizon, NQFI is expected to generate 3.51 times less return on investment than MerVal. But when comparing it to its historical volatility, NQFI is 2.85 times less risky than MerVal. It trades about 0.6 of its potential returns per unit of risk. MerVal is currently generating about 0.74 of returns per unit of risk over similar time horizon. If you would invest  2,770,671  in MerVal on December 19, 2017 and sell it today you would earn a total of  589,150  from holding MerVal or generate 21.26% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between NQFI and MerVal
0.96

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy95.65%
ValuesDaily Returns

Diversification

Almost no diversification

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

 Predicted Return Density 
      Returns