Correlation Analysis Between Russia TR and MerVal

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

 Predicted Return Density 
      Returns 

Russia TR  vs.  MerVal

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Russia TR is expected to generate 6.07 times less return on investment than MerVal. But when comparing it to its historical volatility, Russia TR is 1.46 times less risky than MerVal. It trades about 0.02 of its potential returns per unit of risk. MerVal is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest  2,959,818  in MerVal on November 13, 2018 and sell it today you would earn a total of  142,161  from holding MerVal or generate 4.8% return on investment over 30 days.

Pair Corralation between Russia TR and MerVal

0.3
Time Period2 Months [change]
DirectionPositive 
StrengthVery Weak
Accuracy93.18%
ValuesDaily Returns

Diversification Opportunities for Russia TR and MerVal

Russia TR diversification synergy

Weak diversification

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