Pair Correlation Between NQFI and Bovespa

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

Pair Volatility

Assuming 30 trading days horizon, NQFI is expected to under-perform the Bovespa. But the index apears to be less risky and, when comparing its historical volatility, NQFI is 1.51 times less risky than Bovespa. The index trades about -0.22 of its potential returns per unit of risk. The Bovespa is currently generating about -0.09 of returns per unit of risk over similar time horizon. If you would invest  7,667,114  in Bovespa on October 25, 2017 and sell it today you would lose (215,235)  from holding Bovespa or give up 2.81% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between NQFI and Bovespa
0.62

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy86.96%
ValuesDaily Returns

Diversification

Poor diversification

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

 Predicted Return Density 
      Returns