This module allows you to analyze existing cross correlation between OMX COPENHAGEN and Bovespa. You can compare the effects of market volatilities on OMX COPENHAGEN 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 OMX COPENHAGEN with a short position of Bovespa. See also your portfolio center. Please also check ongoing floating volatility patterns of OMX COPENHAGEN and Bovespa.
Assuming 30 trading days horizon, OMX COPENHAGEN is expected to generate 3.52 times less return on investment than Bovespa. But when comparing it to its historical volatility, OMX COPENHAGEN is 1.2 times less risky than Bovespa. It trades about 0.17 of its potential returns per unit of risk. Bovespa is currently generating about 0.5 of returns per unit of risk over similar time horizon. 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.
Pair Corralation between OMX COPENHAGEN and Bovespa
Overlapping area represents the amount of risk that can be diversified away by holding OMX COPENHAGEN and Bovespa in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bovespa and OMX COPENHAGEN 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 OMX COPENHAGEN 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 OMX COPENHAGEN i.e. OMX COPENHAGEN and Bovespa go up and down completely randomly.
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