Pair Correlation Between Bovespa and Greece TR

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

Pair Volatility

Assuming 30 trading days horizon, Bovespa is expected to generate 0.95 times more return on investment than Greece TR. However, Bovespa is 1.05 times less risky than Greece TR. It trades about -0.12 of its potential returns per unit of risk. Greece TR is currently generating about -0.2 per unit of risk. If you would invest  7,628,317  in Bovespa on October 19, 2017 and sell it today you would lose (284,589)  from holding Bovespa or give up 3.73% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Bovespa and Greece TR
0.54

Parameters

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

Diversification

Very weak diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns