Pair Correlation Between AEX Amsterdam and Bovespa

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

Pair Volatility

Given the investment horizon of 30 days, AEX Amsterdam is expected to under-perform the Bovespa. In addition to that, AEX Amsterdam is 5.53 times more volatile than Bovespa. It trades about -0.22 of its total potential returns per unit of risk. Bovespa is currently generating about -0.09 per unit of volatility. If you would invest  7,541,314  in Bovespa on October 22, 2017 and sell it today you would lose (197,586)  from holding Bovespa or give up 2.62% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between AEX Amsterdam and Bovespa
0.84

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy95.24%
ValuesDaily Returns

Diversification

Very poor diversification

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

 Predicted Return Density 
      Returns