This module allows you to analyze existing cross correlation between NZSE and Bovespa. You can compare the effects of market volatilities on NZSE 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 NZSE with a short position of Bovespa. See also your portfolio center
. Please also check ongoing floating volatility patterns of NZSE
NZSE vs. Bovespa
Assuming 30 trading days horizon, NZSE is expected to generate 0.66 times more return on investment than Bovespa. However, NZSE is 1.51 times less risky than Bovespa. It trades about 0.0 of its potential returns per unit of risk. Bovespa is currently generating about -0.04 per unit of risk. If you would invest 832,142 in NZSE on March 25, 2018 and sell it today you would lose (1,780) from holding NZSE or give up 0.21% of portfolio value over 30 days.
Pair Corralation between NZSE and Bovespa
|Time Period||2 Months [change]|
Almost no diversification
Overlapping area represents the amount of risk that can be diversified away by holding NZSE and Bovespa in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bovespa and NZSE 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 NZSE 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 NZSE i.e. NZSE and Bovespa go up and down completely randomly.
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