Correlation Analysis Between MerVal and Bovespa

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

MerVal  vs.  Bovespa

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to under-perform the Bovespa. In addition to that, MerVal is 1.65 times more volatile than Bovespa. It trades about -0.27 of its total potential returns per unit of risk. Bovespa is currently generating about 0.16 per unit of volatility. If you would invest  7,944,429  in Bovespa on September 23, 2018 and sell it today you would earn a total of  523,063  from holding Bovespa or generate 6.58% return on investment over 30 days.

Pair Corralation between MerVal and Bovespa

-0.78
Time Period1 Month [change]
DirectionNegative 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification

Pay attention

Overlapping area represents the amount of risk that can be diversified away by holding MerVal and Bovespa in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bovespa and MerVal 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 MerVal 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 MerVal i.e. MerVal and Bovespa go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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See also your portfolio center. Please also try Cryptocurrency Correlation module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins and exchanges.


 
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