Pair Correlation Between Bovespa and NIKKEI 225

This module allows you to analyze existing cross correlation between Bovespa and NIKKEI 225. You can compare the effects of market volatilities on Bovespa and NIKKEI 225 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 NIKKEI 225. See also your portfolio center. Please also check ongoing floating volatility patterns of Bovespa and NIKKEI 225.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Bovespa  vs   NIKKEI 225
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Bovespa is expected to under-perform the NIKKEI 225. In addition to that, Bovespa is 1.62 times more volatile than NIKKEI 225. It trades about -0.09 of its total potential returns per unit of risk. NIKKEI 225 is currently generating about 0.2 per unit of volatility. If you would invest  2,170,762  in NIKKEI 225 on October 25, 2017 and sell it today you would earn a total of  81,553  from holding NIKKEI 225 or generate 3.76% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Bovespa and NIKKEI 225
-0.43

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthVery Weak
Accuracy90.91%
ValuesDaily Returns

Diversification

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding Bovespa and NIKKEI 225 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NIKKEI 225 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 NIKKEI 225. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NIKKEI 225 has no effect on the direction of Bovespa i.e. Bovespa and NIKKEI 225 go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns