Pair Correlation Between Bovespa and FTSE MIB

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

Pair Volatility

Assuming 30 trading days horizon, Bovespa is expected to under-perform the FTSE MIB. In addition to that, Bovespa is 2.11 times more volatile than FTSE MIB. It trades about -0.09 of its total potential returns per unit of risk. FTSE MIB is currently generating about -0.04 per unit of volatility. If you would invest  2,244,639  in FTSE MIB on October 25, 2017 and sell it today you would lose (11,995)  from holding FTSE MIB or give up 0.53% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Bovespa and FTSE MIB
-0.3

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy90.0%
ValuesDaily Returns

Diversification

Very good diversification

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

 Predicted Return Density 
      Returns