Correlation Analysis Between Bovespa and XU100

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
Symbolsvs
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Comparative Performance

 Predicted Return Density 
      Returns 

Bovespa  vs.  XU100

 Performance (%) 
      Timeline 

Pair Volatility

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

-0.58
Time Period2 Months [change]
DirectionNegative 
StrengthVery Weak
Accuracy60.98%
ValuesDaily Returns

Diversification Opportunities for Bovespa and XU100

Bovespa diversification synergy

Excellent diversification

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.
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