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This module allows you to analyze existing cross correlation between NASDAQ Italy and Bovespa. You can compare the effects of market volatilities on NASDAQ Italy 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 NASDAQ Italy with a short position of Bovespa. See also your portfolio center. Please also check ongoing floating volatility patterns of NASDAQ Italy and Bovespa.
|Horizon||30 Days Login to change|
Predicted Return Density
NASDAQ Italy vs. Bovespa
Assuming 30 trading days horizon, NASDAQ Italy is expected to generate 2.55 times less return on investment than Bovespa. But when comparing it to its historical volatility, NASDAQ Italy is 1.04 times less risky than Bovespa. It trades about 0.12 of its potential returns per unit of risk. Bovespa is currently generating about 0.28 of returns per unit of risk over similar time horizon. 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 NASDAQ Italy and Bovespa
|Time Period||2 Months [change]|
Diversification Opportunities for NASDAQ Italy and Bovespa
Very poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding NASDAQ Italy and Bovespa in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bovespa and NASDAQ Italy 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 NASDAQ Italy 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 NASDAQ Italy i.e. NASDAQ Italy and Bovespa go up and down completely randomly.