Correlation Analysis Between Bovespa and Israel Index

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

 Predicted Return Density 
      Returns 

Bovespa  vs.  Israel Index

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Bovespa is expected to generate 0.86 times more return on investment than Israel Index. However, Bovespa is 1.16 times less risky than Israel Index. It trades about 0.28 of its potential returns per unit of risk. Israel Index is currently generating about 0.07 per unit of risk. If you would invest  8,567,400  in Bovespa on January 18, 2019 and sell it today you would earn a total of  1,185,200  from holding Bovespa or generate 13.83% return on investment over 30 days.

Pair Corralation between Bovespa and Israel Index

0.67
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy94.87%
ValuesDaily Returns

Diversification Opportunities for Bovespa and Israel Index

Bovespa diversification synergy

Poor diversification

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