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This module allows you to analyze existing cross correlation between Straits Tms and Bovespa. You can compare the effects of market volatilities on Straits Tms 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 Straits Tms with a short position of Bovespa. See also your portfolio center. Please also check ongoing floating volatility patterns of Straits Tms and Bovespa.
|Horizon||30 Days Login to change|
Predicted Return Density
Straits Tms vs. Bovespa
Given the investment horizon of 30 days, Straits Tms is expected to generate 3.19 times less return on investment than Bovespa. But when comparing it to its historical volatility, Straits Tms is 1.59 times less risky than Bovespa. It trades about 0.06 of its potential returns per unit of risk. Bovespa is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 8,216,306 in Bovespa on November 14, 2018 and sell it today you would earn a total of 584,100 from holding Bovespa or generate 7.11% return on investment over 30 days.
Pair Corralation between Straits Tms and Bovespa
|Time Period||2 Months [change]|
Diversification Opportunities for Straits Tms and Bovespa
Overlapping area represents the amount of risk that can be diversified away by holding Straits Tms and Bovespa in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bovespa and Straits Tms 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 Straits Tms 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 Straits Tms i.e. Straits Tms and Bovespa go up and down completely randomly.