Pair Correlation Between XU100 and MerVal

This module allows you to analyze existing cross correlation between XU100 and MerVal. You can compare the effects of market volatilities on XU100 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 XU100 with a short position of MerVal. See also your portfolio center. Please also check ongoing floating volatility patterns of XU100 and MerVal.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 XU100  vs   MerVal
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, XU100 is expected to under-perform the MerVal. But the index apears to be less risky and, when comparing its historical volatility, XU100 is 1.480801049694017E14 times less risky than MerVal. The index trades about -0.1 of its potential returns per unit of risk. The MerVal is currently generating about 0.22 of returns per unit of risk over similar time horizon. If you would invest  2,778,260  in MerVal on October 23, 2017 and sell it today you would lose (65,410)  from holding MerVal or give up 2.35% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between XU100 and MerVal
-0.21

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy95.45%
ValuesDaily Returns

Diversification

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding XU100 and MerVal in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on MerVal and XU100 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 XU100 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 XU100 i.e. XU100 and MerVal go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns