Correlation Analysis 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.
Horizon     30 Days    Login   to change

NQFI  vs.  MerVal

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, NQFI is expected to generate 0.34 times more return on investment than MerVal. However, NQFI is 2.98 times less risky than MerVal. It trades about -0.48 of its potential returns per unit of risk. MerVal is currently generating about -0.25 per unit of risk. If you would invest  165,084  in NQFI on September 22, 2018 and sell it today you would lose (17,402)  from holding NQFI or give up 10.54% of portfolio value over 30 days.

Pair Corralation between NQFI and MerVal

Time Period1 Month [change]
StrengthVery Strong
ValuesDaily Returns


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.

Comparative Volatility

 Predicted Return Density 

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