This module allows you to analyze existing cross correlation between Russell 2000 and Bovespa. You can compare the effects of market volatilities on Russell 2000 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 Russell 2000 with a short position of Bovespa. See also your portfolio center. Please also check ongoing floating volatility patterns of Russell 2000 and Bovespa.
|Horizon||30 Days Login to change|
Predicted Return Density
Russell 2000 vs. Bovespa
Given the investment horizon of 30 days, Russell 2000 is expected to under-perform the Bovespa. In addition to that, Russell 2000 is 1.05 times more volatile than Bovespa. It trades about -0.07 of its total potential returns per unit of risk. Bovespa is currently generating about 0.08 per unit of volatility. 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 Russell 2000 and Bovespa
|Time Period||2 Months [change]|
Diversification Opportunities for Russell 2000 and Bovespa
Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Russell 2000 and Bovespa in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bovespa and Russell 2000 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 Russell 2000 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 Russell 2000 i.e. Russell 2000 and Bovespa go up and down completely randomly.
See also your portfolio center. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.