Correlation Analysis Between All Ords and CAC 40

This module allows you to analyze existing cross correlation between All Ords and CAC 40. You can compare the effects of market volatilities on All Ords and CAC 40 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 All Ords with a short position of CAC 40. See also your portfolio center. Please also check ongoing floating volatility patterns of All Ords and CAC 40.
 Time Horizon     30 Days    Login   to change
Symbolsvs

All Ords  vs.  CAC 40

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, All Ords is expected to generate 0.56 times more return on investment than CAC 40. However, All Ords is 1.77 times less risky than CAC 40. It trades about 0.11 of its potential returns per unit of risk. CAC 40 is currently generating about -0.03 per unit of risk. If you would invest  621,280  in All Ords on June 17, 2018 and sell it today you would earn a total of  8,180  from holding All Ords or generate 1.32% return on investment over 30 days.

Pair Corralation between All Ords and CAC 40

1.0
Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification

No risk reduction

Overlapping area represents the amount of risk that can be diversified away by holding All Ords and CAC 40 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on CAC 40 and All Ords 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 All Ords are associated (or correlated) with CAC 40. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CAC 40 has no effect on the direction of All Ords i.e. All Ords and CAC 40 go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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See also your portfolio center. Please also try Money Flow Index module to determine momentum by analyzing money flow index and other technical indicators.