|Horizon||30 Days Login to change|
Shanghai vs. MerVal
Assuming 30 trading days horizon, Shanghai is expected to under-perform the MerVal. But the index apears to be less risky and, when comparing its historical volatility, Shanghai is 2.34 times less risky than MerVal. The index trades about -0.08 of its potential returns per unit of risk. The MerVal is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest 3,019,878 in MerVal on September 15, 2018 and sell it today you would lose (60,060) from holding MerVal or give up 1.99% of portfolio value over 30 days.
Pair Corralation between Shanghai and MerVal