Correlation Analysis Between Bovespa and IPC

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

Bovespa  vs.  IPC

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, Bovespa is expected to generate 0.83 times more return on investment than IPC. However, Bovespa is 1.2 times less risky than IPC. It trades about 0.06 of its potential returns per unit of risk. IPC is currently generating about -0.17 per unit of risk. If you would invest  8,292,109  in Bovespa on November 10, 2018 and sell it today you would earn a total of  299,362  from holding Bovespa or generate 3.61% return on investment over 30 days.

Pair Corralation between Bovespa and IPC

Time Period2 Months [change]
ValuesDaily Returns


Bovespa diversification synergy

Excellent diversification

Overlapping area represents the amount of risk that can be diversified away by holding Bovespa and IPC in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on IPC and Bovespa 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 Bovespa are associated (or correlated) with IPC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of IPC has no effect on the direction of Bovespa i.e. Bovespa and IPC go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 

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