Correlation Analysis Between MerVal and OSE All

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

Comparative Performance

 Predicted Return Density 

MerVal  vs.  OSE All

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to generate 1.53 times more return on investment than OSE All. However, MerVal is 1.53 times more volatile than OSE All. It trades about 0.42 of its potential returns per unit of risk. OSE All is currently generating about 0.21 per unit of risk. If you would invest  2,845,692  in MerVal on January 20, 2019 and sell it today you would earn a total of  818,848  from holding MerVal or generate 28.78% return on investment over 30 days.

Pair Corralation between MerVal and OSE All

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for MerVal and OSE All

MerVal diversification synergy

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding MerVal and OSE All in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on OSE All and MerVal 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 MerVal are associated (or correlated) with OSE All. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of OSE All has no effect on the direction of MerVal i.e. MerVal and OSE All go up and down completely randomly.

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See also your portfolio center. Please also try Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.