Correlation Analysis Between NYSE and MerVal

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

NYSE  vs.  MerVal

 Performance (%) 

Pair Volatility

Given the investment horizon of 30 days, NYSE is expected to generate 0.21 times more return on investment than MerVal. However, NYSE is 4.68 times less risky than MerVal. It trades about 0.08 of its potential returns per unit of risk. MerVal is currently generating about -0.18 per unit of risk. If you would invest  1,264,874  in NYSE on June 20, 2018 and sell it today you would earn a total of  13,774  from holding NYSE or generate 1.09% return on investment over 30 days.

Pair Corralation between NYSE and MerVal

Time Period1 Month [change]
StrengthVery Weak
ValuesDaily Returns


Excellent diversification

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

Comparative Volatility

 Predicted Return Density 

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See also your portfolio center. Please also try Commodity Channel Index module to use commodity channel index to analyze current equity momentum.