Pair Correlation Between Bovespa and Russia TR

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

Pair Volatility

Assuming 30 trading days horizon, Bovespa is expected to generate 1.23 times less return on investment than Russia TR. But when comparing it to its historical volatility, Bovespa is 1.12 times less risky than Russia TR. It trades about 0.54 of its potential returns per unit of risk. Russia TR is currently generating about 0.59 of returns per unit of risk over similar time horizon. If you would invest  103,334  in Russia TR on December 17, 2017 and sell it today you would earn a total of  12,873  from holding Russia TR or generate 12.46% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Bovespa and Russia TR
0.86

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy90.91%
ValuesDaily Returns

Diversification

Very poor diversification

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

 Predicted Return Density 
      Returns