This module allows you to analyze existing cross correlation between Madrid Gnrl and Bovespa. You can compare the effects of market volatilities on Madrid Gnrl 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 Madrid Gnrl with a short position of Bovespa. See also your portfolio center. Please also check ongoing floating volatility patterns of Madrid Gnrl and Bovespa.
|Horizon||30 Days Login to change|
Predicted Return Density
Madrid Gnrl vs. Bovespa
Assuming 30 trading days horizon, Madrid Gnrl is expected to under-perform the Bovespa. But the index apears to be less risky and, when comparing its historical volatility, Madrid Gnrl is 1.47 times less risky than Bovespa. The index trades about -0.13 of its potential returns per unit of risk. The Bovespa is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 9,457,800 in Bovespa on May 18, 2019 and sell it today you would earn a total of 272,842 from holding Bovespa or generate 2.88% return on investment over 30 days.
Pair Corralation between Madrid Gnrl and Bovespa
|Time Period||2 Months [change]|
Diversification Opportunities for Madrid Gnrl and Bovespa
Overlapping area represents the amount of risk that can be diversified away by holding Madrid Gnrl and Bovespa in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bovespa and Madrid Gnrl 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 Madrid Gnrl 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 Madrid Gnrl i.e. Madrid Gnrl and Bovespa go up and down completely randomly.
See also your portfolio center. Please also try Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.