This module allows you to analyze existing cross correlation between DOW and Bovespa. You can compare the effects of market volatilities on DOW 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 DOW with a short position of Bovespa. See also your portfolio center. Please also check ongoing floating volatility patterns of DOW and Bovespa.
|Horizon||30 Days Login to change|
DOW vs. Bovespa
Given the investment horizon of 30 days, DOW is expected to generate 66.89 times less return on investment than Bovespa. But when comparing it to its historical volatility, DOW is 53.79 times less risky than Bovespa. It trades about 0.04 of its potential returns per unit of risk. Bovespa is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest 0.00 in Bovespa on May 25, 2019 and sell it today you would earn a total of 10,030,341 from holding Bovespa or generate 9.223372036854776E16% return on investment over 30 days.
Pair Corralation between DOW and Bovespa
|Time Period||2 Months [change]|
Diversification Opportunities for DOW and Bovespa
Overlapping area represents the amount of risk that can be diversified away by holding DOW and Bovespa in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bovespa and DOW 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 DOW 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 DOW i.e. DOW and Bovespa go up and down completely randomly.
See also your portfolio center. Please also try Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.