Correlation Analysis Between Bovespa and Stockholm

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

Bovespa  vs.  Stockholm

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Bovespa is expected to generate 1.79 times more return on investment than Stockholm. However, Bovespa is 1.79 times more volatile than Stockholm. It trades about 0.15 of its potential returns per unit of risk. Stockholm is currently generating about -0.39 per unit of risk. If you would invest  7,944,429  in Bovespa on September 22, 2018 and sell it today you would earn a total of  477,546  from holding Bovespa or generate 6.01% return on investment over 30 days.

Pair Corralation between Bovespa and Stockholm

-0.66
Time Period1 Month [change]
DirectionNegative 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification

Excellent diversification

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

 Predicted Return Density 
      Returns 

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