Correlation Analysis Between Bovespa and NASDAQ Italy

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

 Predicted Return Density 
      Returns 

Bovespa  vs.  NASDAQ Italy

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Bovespa is expected to generate 1.04 times more return on investment than NASDAQ Italy. However, Bovespa is 1.04 times more volatile than NASDAQ Italy. It trades about 0.28 of its potential returns per unit of risk. NASDAQ Italy is currently generating about 0.12 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 NASDAQ Italy

0.89
Time Period2 Months [change]
DirectionPositive 
StrengthStrong
Accuracy94.87%
ValuesDaily Returns

Diversification Opportunities for Bovespa and NASDAQ Italy

Bovespa diversification synergy

Very poor diversification

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