Correlation Analysis Between ATX and Bovespa

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

ATX  vs.  Bovespa

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, ATX is expected to under-perform the Bovespa. But the index apears to be less risky and, when comparing its historical volatility, ATX is 1.11 times less risky than Bovespa. The index trades about -0.18 of its potential returns per unit of risk. The Bovespa is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest  8,292,109  in Bovespa on November 10, 2018 and sell it today you would earn a total of  299,362  from holding Bovespa or generate 3.61% return on investment over 30 days.

Pair Corralation between ATX and Bovespa

-0.28
Time Period2 Months [change]
DirectionNegative 
StrengthInsignificant
Accuracy91.3%
ValuesDaily Returns

Diversification

ATX diversification synergy

Very good diversification

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

 Predicted Return Density 
      Returns 

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GOOG - USA Stock
Alphabet
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IT, Search Cloud And Integrated IT Services
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ExchangeNASDAQ
$1038.25

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