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- Peer Analysis
This module allows you to analyze existing cross correlation between Bovespa and XU100. You can compare the effects of market volatilities on Bovespa and XU100 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 XU100. See also your portfolio center. Please also check ongoing floating volatility patterns of Bovespa and XU100.
|Horizon||30 Days Login to change|
Predicted Return Density
Bovespa vs. XU100
Assuming 30 trading days horizon, Bovespa is expected to generate 0.77 times more return on investment than XU100. However, Bovespa is 1.3 times less risky than XU100. It trades about 0.06 of its potential returns per unit of risk. XU100 is currently generating about -0.12 per unit of risk. If you would invest 8,422,000 in Bovespa on November 18, 2018 and sell it today you would earn a total of 239,049 from holding Bovespa or generate 2.84% return on investment over 30 days.
Pair Corralation between Bovespa and XU100
|Time Period||2 Months [change]|
Diversification Opportunities for Bovespa and XU100
Overlapping area represents the amount of risk that can be diversified away by holding Bovespa and XU100 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on XU100 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 XU100. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of XU100 has no effect on the direction of Bovespa i.e. Bovespa and XU100 go up and down completely randomly.