Correlation Analysis Between Bovespa and OMX COPENHAGEN

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

Bovespa  vs.  OMX COPENHAGEN

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, Bovespa is expected to generate 0.97 times more return on investment than OMX COPENHAGEN. However, Bovespa is 1.03 times less risky than OMX COPENHAGEN. It trades about 0.22 of its potential returns per unit of risk. OMX COPENHAGEN is currently generating about -0.18 per unit of risk. If you would invest  7,542,909  in Bovespa on September 15, 2018 and sell it today you would earn a total of  673,397  from holding Bovespa or generate 8.93% return on investment over 30 days.

Pair Corralation between Bovespa and OMX COPENHAGEN

Time Period1 Month [change]
ValuesDaily Returns


Excellent diversification

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

Comparative Volatility

 Predicted Return Density 

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