Correlation Analysis Between SP 500 and Bovespa

This module allows you to analyze existing cross correlation between S&P 500 and Bovespa. You can compare the effects of market volatilities on SP 500 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 SP 500 with a short position of Bovespa. See also your portfolio center. Please also check ongoing floating volatility patterns of SP 500 and Bovespa.
Horizon     30 Days    Login   to change
Symbolsvs
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Comparative Performance

 Predicted Return Density 
      Returns 

S&P 500  vs.  Bovespa

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, SP 500 is expected to generate 1.26 times less return on investment than Bovespa. In addition to that, SP 500 is 1.44 times more volatile than Bovespa. It trades about 0.16 of its total potential returns per unit of risk. Bovespa is currently generating about 0.28 per unit of volatility. 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 SP 500 and Bovespa

0.72
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy97.37%
ValuesDaily Returns

Diversification Opportunities for SP 500 and Bovespa

S&P 500 diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding S&P 500 and Bovespa in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bovespa and SP 500 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 S&P 500 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 SP 500 i.e. SP 500 and Bovespa go up and down completely randomly.
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See also your portfolio center. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.


 
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