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
Symbolsvs

Bovespa  vs.  IPC

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Bovespa is expected to generate 1.0 times less return on investment than IPC. In addition to that, Bovespa is 2.33 times more volatile than IPC. It trades about 0.08 of its total potential returns per unit of risk. IPC is currently generating about 0.19 per unit of volatility. If you would invest  4,805,906  in IPC on August 20, 2018 and sell it today you would earn a total of  160,277  from holding IPC or generate 3.34% return on investment over 30 days.

Pair Corralation between Bovespa and IPC

0.0
Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Pay attention

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.
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Comparative Volatility

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