Correlation Analysis Between Jakarta Comp and Bovespa

This module allows you to analyze existing cross correlation between Jakarta Comp and Bovespa. You can compare the effects of market volatilities on Jakarta Comp and Bovespa 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 Jakarta Comp with a short position of Bovespa. See also your portfolio center. Please also check ongoing floating volatility patterns of Jakarta Comp and Bovespa.
 Time Horizon     30 Days    Login   to change

Jakarta Comp  vs.  Bovespa

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, Jakarta Comp is expected to under-perform the Bovespa. In addition to that, Jakarta Comp is 1.11 times more volatile than Bovespa. It trades about -0.02 of its total potential returns per unit of risk. Bovespa is currently generating about 0.26 per unit of volatility. If you would invest  7,212,341  in Bovespa on June 20, 2018 and sell it today you would earn a total of  536,359  from holding Bovespa or generate 7.44% return on investment over 30 days.

Pair Corralation between Jakarta Comp and Bovespa

Time Period1 Month [change]
ValuesDaily Returns


Very poor diversification

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

Comparative Volatility

 Predicted Return Density 

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