Correlation Analysis Between Bovespa and EURONEXT BEL-20

This module allows you to analyze existing cross correlation between Bovespa and EURONEXT BEL-20. You can compare the effects of market volatilities on Bovespa and EURONEXT BEL-20 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 Bovespa with a short position of EURONEXT BEL-20. See also your portfolio center. Please also check ongoing floating volatility patterns of Bovespa and EURONEXT BEL-20.
Horizon     30 Days    Login   to change
Symbolsvs
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Comparative Performance

 Predicted Return Density 
      Returns 

Bovespa  vs.  EURONEXT BEL-20

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Bovespa is expected to generate 8.86 times less return on investment than EURONEXT BEL-20. In addition to that, Bovespa is 2.08 times more volatile than EURONEXT BEL-20. It trades about 0.01 of its total potential returns per unit of risk. EURONEXT BEL-20 is currently generating about 0.27 per unit of volatility. If you would invest  322,966  in EURONEXT BEL-20 on January 20, 2019 and sell it today you would earn a total of  35,332  from holding EURONEXT BEL-20 or generate 10.94% return on investment over 30 days.

Pair Corralation between Bovespa and EURONEXT BEL-20

0.86
Time Period2 Months [change]
DirectionPositive 
StrengthStrong
Accuracy7.14%
ValuesDaily Returns

Diversification Opportunities for Bovespa and EURONEXT BEL-20

Bovespa diversification synergy

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Bovespa and EURONEXT BEL-20 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on EURONEXT BEL-20 and Bovespa 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 Bovespa are associated (or correlated) with EURONEXT BEL-20. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of EURONEXT BEL-20 has no effect on the direction of Bovespa i.e. Bovespa and EURONEXT BEL-20 go up and down completely randomly.
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