This module allows you to analyze existing cross correlation between NQTH and MerVal. You can compare the effects of market volatilities on NQTH 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 NQTH with a short position of MerVal. See also your portfolio center
. Please also check ongoing floating volatility patterns of NQTH
NQTH vs. MerVal
Assuming 30 trading days horizon, NQTH is expected to under-perform the MerVal. But the index apears to be less risky and, when comparing its historical volatility, NQTH is 2.55 times less risky than MerVal. The index trades about -0.18 of its potential returns per unit of risk. The MerVal is currently generating about -0.05 of returns per unit of risk over similar time horizon. If you would invest 2,765,657 in MerVal on June 17, 2018 and sell it today you would lose (139,292) from holding MerVal or give up 5.04% of portfolio value over 30 days.
Pair Corralation between NQTH and MerVal
|Time Period||1 Month [change]|
Overlapping area represents the amount of risk that can be diversified away by holding NQTH and MerVal in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on MerVal and NQTH 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 NQTH 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 NQTH i.e. NQTH and MerVal go up and down completely randomly.
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See also your portfolio center
. Please also try Stock Tickers
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