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Como Calcular a Correlação entre Investimentos?

Esta planilha financeira irá ajudar você:

1. Calcular a correlação através da fórmula CORREL.

2. Usar as tabelas (table) do excel para automatizar o cálculo da matriz.
3. Identificar as 5 maiores e 5 menores correlações.

Créditos: Planilha Financeira desenvolvida por Henrique Carvalho HC Investimentos

Como Calcular a Correlação entre Investimentos?

Mês IPCA CDI DÓLAR EURO OURO Ibovespa SMLL

Jan-07 0.44% 1.08% -0.38% -1.97% 4.42% -0.57% -2.67%
Feb-07 0.44% 0.87% 0.95% 1.40% 2.22% -1.44% 0.63%
Mar-07 0.37% 1.05% -2.74% -2.30% -1.75% 4.44% 3.68%
Apr-07 0.25% 0.94% -0.54% 1.37% 2.31% 8.16% 7.40%
May-07 0.28% 1.02% -4.89% -6.51% -4.35% 6.67% 9.54%
Jun-07 0.28% 0.90% 1.21% 0.45% -2.97% 3.56% 2.76%
Jul-07 0.24% 0.97% -1.77% -1.45% -2.36% 1.15% 0.60%
Aug-07 0.47% 0.99% 3.81% 4.11% 4.43% -1.24% -2.89%
Sep-07 0.18% 0.80% -6.19% -1.93% 4.89% 11.23% 4.13%
Oct-07 0.30% 0.92% -4.03% -3.92% 9.20% 8.08% 4.38%
Nov-07 0.38% 0.84% 2.63% 3.95% 5.89% -2.94% -6.10%
Dec-07 0.74% 0.84% -0.95% -0.45% -0.41% 0.80% -1.33%
Jan-08 0.54% 0.92% -0.56% 0.25% 5.07% -8.04% -11.14%
Feb-08 0.49% 0.79% -3.15% -2.23% 2.92% 9.05% 7.70%
Mar-08 0.48% 0.84% 4.84% 7.97% -2.46% -5.53% -10.44%
Apr-08 0.55% 0.90% -4.64% -4.54% -7.00% 7.68% 10.69%
May-08 0.79% 0.87% -1.15% -3.81% 2.87% 9.88% 10.31%
Jun-08 0.74% 0.95% -2.20% -1.13% 0.86% -10.44% -9.50%
Jul-08 0.53% 1.06% -2.68% -2.49% -6.12% -8.48% -2.70%
Aug-08 0.28% 1.01% 4.61% -1.86% -5.38% -6.43% -10.49%
Sep-08 0.26% 1.10% 15.67% 12.28% 19.78% -11.03% -23.23%
Oct-08 0.45% 1.17% 12.21% -0.04% -7.44% -24.80% -26.93%
Nov-08 0.36% 1.00% 6.78% 10.04% 10.31% -1.77% -2.51%
Dec-08 0.28% 1.11% 0.60% 9.31% 10.26% 2.61% 3.85%
Jan-09 0.48% 1.04% -0.64% -8.31% 6.32% 4.66% 0.03%
Feb-09 0.55% 0.85% 2.07% 1.75% 4.01% -2.84% -4.98%
Mar-09 0.20% 0.97% -5.08% 1.89% -6.69% 7.18% 2.65%
Apr-09 0.48% 0.84% -4.34% -6.36% -6.38% 15.55% 32.46%
May-09 0.47% 0.77% -7.51% -3.23% 2.44% 12.49% 12.23%
Jun-09 0.36% 0.75% 0.56% -1.77% -2.76% -3.26% 0.60%
Jul-09 0.24% 0.78% -3.61% -2.50% -2.39% 6.41% 15.93%
Aug-09 0.15% 0.69% 0.74% 1.11% 0.00% 3.15% 7.98%
Sep-09 0.24% 0.69% -5.74% -3.70% 0.97% 8.90% 7.37%
Oct-09 0.28% 0.69% -1.92% -1.18% 2.61% 0.05% 2.62%
Nov-09 0.41% 0.66% 0.37% 2.17% 15.03% 8.94% 12.59%
Dec-09 0.37% 0.72% 1.05% -4.53% -10.53% 2.30% 4.82%
Jan-10 0.75% 0.66% 7.67% 3.82% 6.45% -4.65% -3.67%
Feb-10 0.78% 0.59% -3.40% -5.24% -1.20% 1.68% 3.15%
Mar-10 0.52% 0.76% -1.66% -2.40% 4.28% 5.28% -1.36%
Apr-10 0.57% 0.63% -2.83% -4.31% 1.47% -4.04% -0.48%
May-10 0.43% 0.75% 4.98% -2.93% 4.35% -6.64% -3.54%
Jun-10 0.00% 0.79% -0.84% -1.44% 2.92% -3.35% 3.02%
Jul-10 0.01% 0.86% -2.46% 4.08% -3.91% 10.80% 11.83%
Matriz de Correlação Histórica

Matriz IPCA CDI DÓLAR EURO OURO Ibovespa SMLL

IPCA -
CDI -13.53% -
DÓLAR 5.27% 30.33% -
EURO -19.60% 25.27% 63.41% -
OURO 1.72% 1.19% 33.23% 48.66% -
Ibovespa -20.02% -31.13% -71.95% -32.38% -3.20% -
SMLL -15.32% -39.67% -72.04% -42.92% -21.37% 88.47% -

Análise das maiores e menores Correlações Históricas

Maior 5 maiores correlações Menor 5 menores correlações

# Correl Linha Coluna # Correl Linha Coluna
1 88.47% SMLL Ibovespa 1 -72.04% SMLL DÓLAR
2 63.41% EURO DÓLAR 2 -71.95% Ibovespa DÓLAR
3 48.66% OURO EURO 3 -42.92% SMLL EURO
4 33.23% OURO DÓLAR 4 -39.67% SMLL CDI
5 30.33% DÓLAR CDI 5 -32.38% Ibovespa EURO
Como Calcular a Correlação entre Investimentos?

Mês IPCA CDI DÓLAR EURO OURO Ibovespa SMLL

Jan-07 0.44% 1.08% -0.38% -1.97% 4.42% -0.57% -2.67%
Feb-07 0.44% 0.87% 0.95% 1.40% 2.22% -1.44% 0.63%
Mar-07 0.37% 1.05% -2.74% -2.30% -1.75% 4.44% 3.68%
Apr-07 0.25% 0.94% -0.54% 1.37% 2.31% 8.16% 7.40%
May-07 0.28% 1.02% -4.89% -6.51% -4.35% 6.67% 9.54%
Jun-07 0.28% 0.90% 1.21% 0.45% -2.97% 3.56% 2.76%
Jul-07 0.24% 0.97% -1.77% -1.45% -2.36% 1.15% 0.60%
Aug-07 0.47% 0.99% 3.81% 4.11% 4.43% -1.24% -2.89%
Sep-07 0.18% 0.80% -6.19% -1.93% 4.89% 11.23% 4.13%
Oct-07 0.30% 0.92% -4.03% -3.92% 9.20% 8.08% 4.38%
Nov-07 0.38% 0.84% 2.63% 3.95% 5.89% -2.94% -6.10%
Dec-07 0.74% 0.84% -0.95% -0.45% -0.41% 0.80% -1.33%
Jan-08 0.54% 0.92% -0.56% 0.25% 5.07% -8.04% -11.14%
Feb-08 0.49% 0.79% -3.15% -2.23% 2.92% 9.05% 7.70%
Mar-08 0.48% 0.84% 4.84% 7.97% -2.46% -5.53% -10.44%
Apr-08 0.55% 0.90% -4.64% -4.54% -7.00% 7.68% 10.69%
May-08 0.79% 0.87% -1.15% -3.81% 2.87% 9.88% 10.31%
Jun-08 0.74% 0.95% -2.20% -1.13% 0.86% -10.44% -9.50%
Jul-08 0.53% 1.06% -2.68% -2.49% -6.12% -8.48% -2.70%
Aug-08 0.28% 1.01% 4.61% -1.86% -5.38% -6.43% -10.49%
Sep-08 0.26% 1.10% 15.67% 12.28% 19.78% -11.03% -23.23%
Oct-08 0.45% 1.17% 12.21% -0.04% -7.44% -24.80% -26.93%
Nov-08 0.36% 1.00% 6.78% 10.04% 10.31% -1.77% -2.51%
Dec-08 0.28% 1.11% 0.60% 9.31% 10.26% 2.61% 3.85%
Jan-09 0.48% 1.04% -0.64% -8.31% 6.32% 4.66% 0.03%
Feb-09 0.55% 0.85% 2.07% 1.75% 4.01% -2.84% -4.98%
Mar-09 0.20% 0.97% -5.08% 1.89% -6.69% 7.18% 2.65%
Apr-09 0.48% 0.84% -4.34% -6.36% -6.38% 15.55% 32.46%
May-09 0.47% 0.77% -7.51% -3.23% 2.44% 12.49% 12.23%
Jun-09 0.36% 0.75% 0.56% -1.77% -2.76% -3.26% 0.60%
Jul-09 0.24% 0.78% -3.61% -2.50% -2.39% 6.41% 15.93%
Aug-09 0.15% 0.69% 0.74% 1.11% 0.00% 3.15% 7.98%
Sep-09 0.24% 0.69% -5.74% -3.70% 0.97% 8.90% 7.37%
Oct-09 0.28% 0.69% -1.92% -1.18% 2.61% 0.05% 2.62%
Nov-09 0.41% 0.66% 0.37% 2.17% 15.03% 8.94% 12.59%
Dec-09 0.37% 0.72% 1.05% -4.53% -10.53% 2.30% 4.82%
Jan-10 0.75% 0.66% 7.67% 3.82% 6.45% -4.65% -3.67%
Feb-10 0.78% 0.59% -3.40% -5.24% -1.20% 1.68% 3.15%
Mar-10 0.52% 0.76% -1.66% -2.40% 4.28% 5.28% -1.36%
Apr-10 0.57% 0.63% -2.83% -4.31% 1.47% -4.04% -0.48%
May-10 0.43% 0.75% 4.98% -2.93% 4.35% -6.64% -3.54%
Jun-10 0.00% 0.79% -0.84% -1.44% 2.92% -3.35% 3.02%
Jul-10 0.01% 0.86% -2.46% 4.08% -3.91% 10.80% 11.83%
Matriz de Correlação Histórica (com tabela)

Matriz IPCA CDI DÓLAR EURO OURO Ibovespa SMLL

IPCA -
CDI -13.53% -
DÓLAR 5.27% 30.33% -
EURO -19.60% 25.27% 63.41% -
OURO 1.72% 1.19% 33.23% 48.66% -
Ibovespa -20.02% -31.13% -71.95% -32.38% -3.20% -
SMLL -15.32% -39.67% -72.04% -42.92% -21.37% 88.47% -

Fórmula =CORREL(Dados_Correlação[CDI];Dados_Correlação[IPCA])

Vantagem Permite visualizar rapidamente quais ativos foram escolhidos para o cálculo da correlação,
evitando erros nas fórmulas, principalmente quando a matriz tiver mais de 20 ativos.

Análise das maiores e menores Correlações Históricas

Maior 5 maiores correlações Menor 5 menores correlações

# Correl Linha Coluna # Correl Linha Coluna
1 88.47% SMLL Ibovespa 1 -72.04% SMLL DÓLAR
2 63.41% EURO DÓLAR 2 -71.95% Ibovespa DÓLAR
3 48.66% OURO EURO 3 -42.92% SMLL EURO
4 33.23% OURO DÓLAR 4 -39.67% SMLL CDI
5 30.33% DÓLAR CDI 5 -32.38% Ibovespa EURO
Column1.1 Column1.2 Column1.3 Column1.4 Column1.5 Column1.6 Column1.7
Data Último Abertura Máxima Mínima Vol. Var%
Jan 19 92,71 84,60 93,21 84,37 - 9,59%
Dez 18 84,60 88,10 88,15 80,90 73,53M -2,05%
Nov 18 86,37 84,51 87,04 81,02 86,49M 2,72%
Out 18 84,08 76,75 84,93 75,33 122,54M 9,75%
Set 18 76,61 73,66 77,29 71,63 51,08M 3,36%
Ago 18 74,12 76,01 78,94 72,08 80,32M -3,05%
Jul 18 76,45 69,59 77,67 69,39 54,13M 8,67%
Jun 18 70,35 74,75 76,16 66,64 76,56M -5,02%
Mai 18 74,07 82,43 83,67 72,69 73,65M -10,95%
Abr 18 83,18 82,30 84,15 79,94 47,50M 0,91%
Mar 18 82,43 82,50 84,49 79,50 54,14M -0,08%
Fev 18 82,50 82,02 85,32 76,96 54,58M 0,61%
Jan 18 82,00 74,00 83,22 74,00 54,43M 11,08%
Dez 17 73,82 68,76 73,83 68,76 59,65M 6,37%
Nov 17 69,40 72,41 72,70 68,46 57,58M -3,30%
Out 17 71,77 71,60 75,41 71,33 49,90M 0,27%
Set 17 71,58 68,98 73,87 68,98 49,23M 4,63%
Ago 17 68,41 64,02 69,07 63,80 75,99M 7,36%
Jul 17 63,72 61,29 64,72 59,98 40,60M 4,58%
Jun 17 60,93 60,90 61,55 58,57 43,63M 0,61%
Mai 17 60,56 63,46 66,54 58,00 92,40M -4,16%
Abr 17 63,19 62,70 64,18 60,79 44,34M 0,65%
Mar 17 62,78 65,12 65,88 60,51 52,97M -2,67%
#VALUE!
 SUZB3 BOVA11
BOVA11 SUZB3 SUZB3
9.59 22.09
-2.05 -6.87
2.72 8.03
9.75 -21.28
3.36 1.63
-3.05 6.20
8.67 -0.93
-5.02 4.34
-10.95 4.97
0.91 23.67
-0.08 53.35
0.61 5.30
11.08 10.01
6.37 6.74
BOVA11 SUZB3
-0.106686
Column1.1 Column1.2 Column1.3 Column1.4 Column1.5 Column1.6 Column1.7
Data Último Abertura Máxima Mínima Vol.
Jan 19 46,49 37,95 46,49 35,62 - 0.2209
Dez 18 38,08 41,50 41,81 35,70 90,68M -0.0687
Nov 18 40,89 37,85 42,00 33,70 107,86M 0.0803
Out 18 37,85 48,27 48,27 35,90 129,84M -0.2128
Set 18 48,08 48,21 55,20 46,71 95,68M 0.0163
Ago 18 47,31 44,66 51,43 41,68 110,60M 0.062
Jul 18 44,55 44,97 48,15 39,63 79,75M -0.0093
Jun 18 44,97 43,40 54,71 42,30 110,09M 0.0434
Mai 18 43,10 41,55 47,84 39,09 109,26M 0.0497
Abr 18 41,06 33,24 42,20 32,61 91,57M 0.2367
Mar 18 33,20 21,85 34,59 21,15 182,36M 0.5335
Fev 18 21,65 20,58 23,36 19,21 75,16M 0.053
Jan 18 20,56 18,53 21,70 18,32 71,53M 0.1001
Dez 17 18,69 17,30 19,28 17,03 52,59M 0.0674