Correlation Analysis Between Bovespa and Nasdaq

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

Bovespa  vs.  Nasdaq

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Bovespa is expected to generate 2.16 times more return on investment than Nasdaq. However, Bovespa is 2.16 times more volatile than Nasdaq. It trades about 0.14 of its potential returns per unit of risk. Nasdaq is currently generating about 0.05 per unit of risk. If you would invest  7,563,377  in Bovespa on August 25, 2018 and sell it today you would earn a total of  381,052  from holding Bovespa or generate 5.04% return on investment over 30 days.

Pair Corralation between Bovespa and Nasdaq

0.1
Time Period1 Month [change]
DirectionPositive 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Average diversification

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

 Predicted Return Density 
      Returns 

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ExchangeNASDAQ
$1166.09

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