This module allows you to analyze existing cross correlation between SPTSX Comp and Bovespa. You can compare the effects of market volatilities on SPTSX Comp 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 SPTSX Comp with a short position of Bovespa. See also your portfolio center. Please also check ongoing floating volatility patterns of SPTSX Comp and Bovespa.
|Horizon||30 Days Login to change|
Predicted Return Density
SPTSX Comp vs. Bovespa
Assuming 30 trading days horizon, SPTSX Comp is expected to under-perform the Bovespa. But the index apears to be less risky and, when comparing its historical volatility, SPTSX Comp is 2.25 times less risky than Bovespa. The index trades about -0.07 of its potential returns per unit of risk. The Bovespa is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 9,458,800 in Bovespa on May 19, 2019 and sell it today you would earn a total of 303,500 from holding Bovespa or generate 3.21% return on investment over 30 days.
Pair Corralation between SPTSX Comp and Bovespa
|Time Period||2 Months [change]|
Diversification Opportunities for SPTSX Comp and Bovespa
Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding SPTSX Comp and Bovespa in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bovespa and SPTSX Comp 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 SPTSX Comp 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 SPTSX Comp i.e. SPTSX Comp and Bovespa go up and down completely randomly.
See also your portfolio center. Please also try Balance Of Power module to check stock momentum by analyzing balance of power indicator and other technical ratios.