This module allows you to analyze existing cross correlation between Bovespa and Jakarta Comp. You can compare the effects of market volatilities on Bovespa and Jakarta Comp 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 Jakarta Comp. See also your portfolio center
. Please also check ongoing floating volatility patterns of Bovespa
and Jakarta Comp
Bovespa vs. Jakarta Comp
Assuming 30 trading days horizon, Bovespa is expected to generate 0.75 times more return on investment than Jakarta Comp. However, Bovespa is 1.33 times less risky than Jakarta Comp. It trades about 0.5 of its potential returns per unit of risk. Jakarta Comp is currently generating about 0.03 per unit of risk. If you would invest 7,007,490 in Bovespa on June 21, 2018 and sell it today you would earn a total of 849,610 from holding Bovespa or generate 12.12% return on investment over 30 days.
Pair Corralation between Bovespa and Jakarta Comp
|Time Period||1 Month [change]|
Very poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding Bovespa and Jakarta Comp in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Jakarta Comp 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 Jakarta Comp. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jakarta Comp has no effect on the direction of Bovespa i.e. Bovespa and Jakarta Comp go up and down completely randomly.
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