Correlation Analysis Between IPC and Bovespa

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

IPC  vs.  Bovespa

 Performance (%) 

Pair Volatility

Given the investment horizon of 30 days, IPC is expected to under-perform the Bovespa. In addition to that, IPC is 1.27 times more volatile than Bovespa. It trades about -0.17 of its total potential returns per unit of risk. Bovespa is currently generating about 0.09 per unit of volatility. If you would invest  8,367,912  in Bovespa on November 9, 2018 and sell it today you would earn a total of  443,588  from holding Bovespa or generate 5.3% return on investment over 30 days.

Pair Corralation between IPC and Bovespa

Time Period2 Months [change]
ValuesDaily Returns


IPC diversification synergy

Excellent diversification

Overlapping area represents the amount of risk that can be diversified away by holding IPC and Bovespa in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bovespa and IPC 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 IPC 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 IPC i.e. IPC and Bovespa go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 

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