Correlation Analysis Between OSE All and MerVal

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

OSE All  vs.  MerVal

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, OSE All is expected to under-perform the MerVal. But the index apears to be less risky and, when comparing its historical volatility, OSE All is 1.44 times less risky than MerVal. The index trades about -0.12 of its potential returns per unit of risk. The MerVal is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest  2,959,818  in MerVal on November 11, 2018 and sell it today you would earn a total of  134,291  from holding MerVal or generate 4.54% return on investment over 30 days.

Pair Corralation between OSE All and MerVal

-0.43
Time Period2 Months [change]
DirectionNegative 
StrengthVery Weak
Accuracy93.02%
ValuesDaily Returns

Diversification

OSE All diversification synergy

Very good diversification

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

 Predicted Return Density 
      Returns 

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Alphabet
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ExchangeNASDAQ
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