Correlation Analysis Between BSE and Bovespa

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

BSE  vs.  Bovespa

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, BSE is expected to generate 2.05 times less return on investment than Bovespa. But when comparing it to its historical volatility, BSE is 1.13 times less risky than Bovespa. It trades about 0.04 of its potential returns per unit of risk. Bovespa is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest  9,458,800  in Bovespa on May 19, 2019 and sell it today you would earn a total of  303,500  from holding Bovespa or generate 3.21% return on investment over 30 days.

Pair Corralation between BSE and Bovespa

0.0
Time Period2 Months [change]
DirectionFlat 
StrengthInsignificant
Accuracy90.24%
ValuesDaily Returns

Diversification Opportunities for BSE and Bovespa

BSE diversification synergy

Pay attention

Overlapping area represents the amount of risk that can be diversified away by holding BSE and Bovespa in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bovespa and BSE 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 BSE 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 BSE i.e. BSE and Bovespa go up and down completely randomly.
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See also your portfolio center. Please also try Fundamental Analysis module to view fundamental data based on most recent published financial statements.


 
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