This module allows you to analyze existing cross correlation between Greece TR and MerVal. You can compare the effects of market volatilities on Greece TR 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 Greece TR with a short position of MerVal. See also your portfolio center. Please also check ongoing floating volatility patterns of Greece TR and MerVal.
Assuming 30 trading days horizon, Greece TR is expected to under-perform the MerVal. But the index apears to be less risky and, when comparing its historical volatility, Greece TR is 1.84 times less risky than MerVal. The index trades about -0.06 of its potential returns per unit of risk. The MerVal is currently generating about 0.27 of returns per unit of risk over similar time horizon. If you would invest 2,548,134 in MerVal on August 27, 2018 and sell it today you would earn a total of 857,128 from holding MerVal or generate 33.64% return on investment over 30 days.
Overlapping area represents the amount of risk that can be diversified away by holding Greece TR and MerVal in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on MerVal and Greece TR 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 Greece TR 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 Greece TR i.e. Greece TR and MerVal go up and down completely randomly.
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