This module allows you to analyze existing cross correlation between NQTH and Bovespa. You can compare the effects of market volatilities on NQTH 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 NQTH with a short position of Bovespa. See also your portfolio center. Please also check ongoing floating volatility patterns of NQTH and Bovespa.
Assuming 30 trading days horizon, NQTH is expected to generate 5.81 times less return on investment than Bovespa. In addition to that, NQTH is 1.14 times more volatile than Bovespa. It trades about 0.08 of its total potential returns per unit of risk. Bovespa is currently generating about 0.5 per unit of volatility. 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.
Overlapping area represents the amount of risk that can be diversified away by holding NQTH and Bovespa in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bovespa and NQTH 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 NQTH 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 NQTH i.e. NQTH and Bovespa go up and down completely randomly.
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