Pair Correlation Between Bovespa and Madrid Gnrl

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

Pair Volatility

Assuming 30 trading days horizon, Bovespa is expected to under-perform the Madrid Gnrl. In addition to that, Bovespa is 1.52 times more volatile than Madrid Gnrl. It trades about -0.09 of its total potential returns per unit of risk. Madrid Gnrl is currently generating about -0.05 per unit of volatility. If you would invest  102,420  in Madrid Gnrl on October 23, 2017 and sell it today you would lose (1,161)  from holding Madrid Gnrl or give up 1.13% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Bovespa and Madrid Gnrl
0.61

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy95.24%
ValuesDaily Returns

Diversification

Poor diversification

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

 Predicted Return Density 
      Returns