Correlation Between SP Merval and RTSI Index
Can any of the company-specific risk be diversified away by investing in both SP Merval and RTSI Index at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining SP Merval and RTSI Index into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SP Merval and RTSI Index, you can compare the effects of market volatilities on SP Merval and RTSI Index 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 Merval with a short position of RTSI Index. Check out your portfolio center. Please also check ongoing floating volatility patterns of SP Merval and RTSI Index.
Diversification Opportunities for SP Merval and RTSI Index
0.05 | Correlation Coefficient |
Significant diversification
The 3 months correlation between MERV and RTSI is 0.05. Overlapping area represents the amount of risk that can be diversified away by holding SP Merval and RTSI Index in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on RTSI Index and SP 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 SP Merval are associated (or correlated) with RTSI Index. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of RTSI Index has no effect on the direction of SP Merval i.e., SP Merval and RTSI Index go up and down completely randomly.
Pair Corralation between SP Merval and RTSI Index
If you would invest 114,730 in RTSI Index on January 30, 2024 and sell it today you would earn a total of 4,119 from holding RTSI Index or generate 3.59% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Insignificant |
Accuracy | 90.48% |
Values | Daily Returns |
SP Merval vs. RTSI Index
Performance |
Timeline |
SP Merval and RTSI Index Volatility Contrast
Predicted Return Density |
Returns |
SP Merval
Pair trading matchups for SP Merval
RTSI Index
Pair trading matchups for RTSI Index
Pair Trading with SP Merval and RTSI Index
The main advantage of trading using opposite SP Merval and RTSI Index positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SP Merval position performs unexpectedly, RTSI Index can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in RTSI Index will offset losses from the drop in RTSI Index's long position.SP Merval vs. United States Steel | SP Merval vs. Harmony Gold Mining | SP Merval vs. Compania de Transporte | SP Merval vs. Agrometal SAI |
RTSI Index vs. KAMAZ Publicly Traded | RTSI Index vs. Novolipetsk Steel PAO | RTSI Index vs. Sovcombank | RTSI Index vs. Chelyabinsk Metallurg Kombinat |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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