This module allows you to analyze existing cross correlation between Bovespa and Swiss Mrt. You can compare the effects of market volatilities on Bovespa and Swiss Mrt 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 Swiss Mrt. See also your portfolio center
. Please also check ongoing floating volatility patterns of Bovespa
and Swiss Mrt
Bovespa vs. Swiss Mrt
Assuming 30 trading days horizon, Bovespa is expected to generate 1.17 times more return on investment than Swiss Mrt. However, Bovespa is 1.17 times more volatile than Swiss Mrt. It trades about 0.34 of its potential returns per unit of risk. Swiss Mrt is currently generating about 0.16 per unit of risk. If you would invest 6,981,474 in Bovespa on June 17, 2018 and sell it today you would earn a total of 683,826 from holding Bovespa or generate 9.79% return on investment over 30 days.
Pair Corralation between Bovespa and Swiss Mrt
|Time Period||1 Month [change]|
Very poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding Bovespa and Swiss Mrt in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Swiss Mrt 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 Swiss Mrt. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Swiss Mrt has no effect on the direction of Bovespa i.e. Bovespa and Swiss Mrt go up and down completely randomly.
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|Business Address||1600 Amphitheatre Parkway|
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