Pair Correlation Between Greece TR and Bovespa

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

Pair Volatility

Assuming 30 trading days horizon, Greece TR is expected to under-perform the Bovespa. But the index apears to be less risky and, when comparing its historical volatility, Greece TR is 1.03 times less risky than Bovespa. The index trades about -0.2 of its potential returns per unit of risk. The Bovespa is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest  8,368,000  in Bovespa on January 24, 2018 and sell it today you would earn a total of  361,324  from holding Bovespa or generate 4.32% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Greece TR and Bovespa
0.03

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Significant diversification

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

 Predicted Return Density 
      Returns