Correlation Analysis Between SP 500 and MerVal

This module allows you to analyze existing cross correlation between S&P 500 and MerVal. You can compare the effects of market volatilities on SP 500 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 SP 500 with a short position of MerVal. See also your portfolio center. Please also check ongoing floating volatility patterns of SP 500 and MerVal.
Horizon     30 Days    Login   to change
Symbolsvs
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Comparative Performance

 Predicted Return Density 
      Returns 

S&P 500  vs.  MerVal

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, S&P 500 is expected to under-perform the MerVal. But the index apears to be less risky and, when comparing its historical volatility, S&P 500 is 3.09 times less risky than MerVal. The index trades about -0.02 of its potential returns per unit of risk. The MerVal is currently generating about 0.3 of returns per unit of risk over similar time horizon. If you would invest  3,078,664  in MerVal on May 18, 2019 and sell it today you would earn a total of  970,097  from holding MerVal or generate 31.51% return on investment over 30 days.

Pair Corralation between SP 500 and MerVal

-0.36
Time Period2 Months [change]
DirectionNegative 
StrengthInsignificant
Accuracy95.12%
ValuesDaily Returns

Diversification Opportunities for SP 500 and MerVal

S&P 500 diversification synergy

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding S&P 500 and MerVal in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on MerVal and SP 500 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 S&P 500 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 SP 500 i.e. SP 500 and MerVal go up and down completely randomly.
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See also your portfolio center. Please also try ETF Directory module to find actively-traded exchange traded funds (etf) from around the world.


 
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