Correlation Analysis Between Bovespa and BSE

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

Comparative Performance

 Predicted Return Density 
      Returns 

Bovespa  vs.  BSE

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Bovespa is expected to generate 2.13 times more return on investment than BSE. However, Bovespa is 2.13 times more volatile than BSE. It trades about 0.01 of its potential returns per unit of risk. BSE is currently generating about -0.05 per unit of risk. If you would invest  9,651,000  in Bovespa on January 20, 2019 and sell it today you would earn a total of  154,628  from holding Bovespa or generate 1.6% return on investment over 30 days.

Pair Corralation between Bovespa and BSE

0.37
Time Period2 Months [change]
DirectionPositive 
StrengthVery Weak
Accuracy5.6%
ValuesDaily Returns

Diversification Opportunities for Bovespa and BSE

Bovespa diversification synergy

Weak diversification

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