Correlation Analysis Between Russell 2000 and Bovespa

This module allows you to analyze existing cross correlation between Russell 2000 and Bovespa. You can compare the effects of market volatilities on Russell 2000 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 Russell 2000 with a short position of Bovespa. See also your portfolio center. Please also check ongoing floating volatility patterns of Russell 2000 and Bovespa.
Horizon     30 Days    Login   to change
Symbolsvs

Russell 2000   vs.  Bovespa

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Russell 2000 is expected to under-perform the Bovespa. But the index apears to be less risky and, when comparing its historical volatility, Russell 2000 is 1.08 times less risky than Bovespa. The index trades about -0.06 of its potential returns per unit of risk. The Bovespa is currently generating about 0.17 of returns per unit of risk over similar time horizon. If you would invest  8,384,713  in Bovespa on October 18, 2018 and sell it today you would earn a total of  466,787  from holding Bovespa or generate 5.57% return on investment over 30 days.

Pair Corralation between Russell 2000 and Bovespa

0.4
Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy95.65%
ValuesDaily Returns

Diversification

Russell 2000  diversification synergy

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding Russell 2000 and Bovespa in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bovespa and Russell 2000 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 Russell 2000 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 Russell 2000 i.e. Russell 2000 and Bovespa go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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