This module allows you to analyze existing cross correlation between NIKKEI 225 and Bovespa. You can compare the effects of market volatilities on NIKKEI 225 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 NIKKEI 225 with a short position of Bovespa. See also your portfolio center
. Please also check ongoing floating volatility patterns of NIKKEI 225
NIKKEI 225 vs. Bovespa
Assuming 30 trading days horizon, NIKKEI 225 is expected to generate 110.67 times less return on investment than Bovespa. But when comparing it to its historical volatility, NIKKEI 225 is 1.02 times less risky than Bovespa. It trades about 0.0 of its potential returns per unit of risk. Bovespa is currently generating about 0.51 of returns per unit of risk over similar time horizon. If you would invest 7,007,490 in Bovespa on June 21, 2018 and sell it today you would earn a total of 849,610 from holding Bovespa or generate 12.12% return on investment over 30 days.
Pair Corralation between NIKKEI 225 and Bovespa
|Time Period||1 Month [change]|
No risk reduction
Overlapping area represents the amount of risk that can be diversified away by holding NIKKEI 225 and Bovespa in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bovespa and NIKKEI 225 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 NIKKEI 225 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 NIKKEI 225 i.e. NIKKEI 225 and Bovespa go up and down completely randomly.
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