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This module allows you to analyze existing cross correlation between Taiwan Wtd and Bovespa. You can compare the effects of market volatilities on Taiwan Wtd 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 Taiwan Wtd with a short position of Bovespa. See also your portfolio center. Please also check ongoing floating volatility patterns of Taiwan Wtd and Bovespa.
|Horizon||30 Days Login to change|
Predicted Return Density
Taiwan Wtd vs. Bovespa
Assuming 30 trading days horizon, Taiwan Wtd is expected to under-perform the Bovespa. But the index apears to be less risky and, when comparing its historical volatility, Taiwan Wtd is 1.36 times less risky than Bovespa. The index trades about -0.04 of its potential returns per unit of risk. The 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 13, 2018 and sell it today you would earn a total of 567,453 from holding Bovespa or generate 6.91% return on investment over 30 days.
Pair Corralation between Taiwan Wtd and Bovespa
|Time Period||2 Months [change]|
Diversification Opportunities for Taiwan Wtd and Bovespa
Overlapping area represents the amount of risk that can be diversified away by holding Taiwan Wtd and Bovespa in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bovespa and Taiwan Wtd 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 Taiwan Wtd 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 Taiwan Wtd i.e. Taiwan Wtd and Bovespa go up and down completely randomly.