Pair Correlation Between Israel Index and Bovespa

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

Pair Volatility

Assuming 30 trading days horizon, Israel Index is expected to generate 0.62 times more return on investment than Bovespa. However, Israel Index is 1.6 times less risky than Bovespa. It trades about 0.05 of its potential returns per unit of risk. Bovespa is currently generating about -0.09 per unit of risk. If you would invest  96,574  in Israel Index on October 25, 2017 and sell it today you would earn a total of  922  from holding Israel Index or generate 0.95% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Israel Index and Bovespa
0.74

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy90.91%
ValuesDaily Returns

Diversification

Poor diversification

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

 Predicted Return Density 
      Returns