Pair Correlation Between XU100 and Bovespa

This module allows you to analyze existing cross correlation between XU100 and Bovespa. You can compare the effects of market volatilities on XU100 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 XU100 with a short position of Bovespa. See also your portfolio center. Please also check ongoing floating volatility patterns of XU100 and Bovespa.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 XU100  vs   Bovespa
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, XU100 is expected to generate 5.05 times less return on investment than Bovespa. In addition to that, XU100 is 1.25 times more volatile than Bovespa. It trades about 0.09 of its total potential returns per unit of risk. Bovespa is currently generating about 0.54 per unit of volatility. If you would invest  7,311,545  in Bovespa on December 17, 2017 and sell it today you would earn a total of  663,693  from holding Bovespa or generate 9.08% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between XU100 and Bovespa
0.83

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy95.24%
ValuesDaily Returns

Diversification

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding XU100 and Bovespa in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bovespa and XU100 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 XU100 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 XU100 i.e. XU100 and Bovespa go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns