Correlation Analysis Between Bovespa and Shanghai

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

Bovespa  vs.  Shanghai

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, Bovespa is expected to generate 13.0 times less return on investment than Shanghai. In addition to that, Bovespa is 1.05 times more volatile than Shanghai. It trades about 0.02 of its total potential returns per unit of risk. Shanghai is currently generating about 0.23 per unit of volatility. If you would invest  251,190  in Shanghai on October 17, 2018 and sell it today you would earn a total of  16,721  from holding Shanghai or generate 6.66% return on investment over 30 days.

Pair Corralation between Bovespa and Shanghai

Time Period1 Month [change]
ValuesDaily Returns


Bovespa diversification synergy

Poor diversification

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

Comparative Volatility

 Predicted Return Density 

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