Correlation Analysis Between EURONEXT BEL-20 and CAC 40

This module allows you to analyze existing cross correlation between EURONEXT BEL-20 and CAC 40. You can compare the effects of market volatilities on EURONEXT BEL-20 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 EURONEXT BEL-20 with a short position of CAC 40. See also your portfolio center. Please also check ongoing floating volatility patterns of EURONEXT BEL-20 and CAC 40.
Horizon     30 Days    Login   to change
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Comparative Performance

 Predicted Return Density 
      Returns 

EURONEXT BEL-20  vs.  CAC 40

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, EURONEXT BEL-20 is expected to generate 1.07 times more return on investment than CAC 40. However, EURONEXT BEL-20 is 1.07 times more volatile than CAC 40. It trades about -0.1 of its potential returns per unit of risk. CAC 40 is currently generating about -0.12 per unit of risk. If you would invest  350,867  in EURONEXT BEL-20 on November 18, 2018 and sell it today you would lose (18,137)  from holding EURONEXT BEL-20 or give up 5.17% of portfolio value over 30 days.

Pair Corralation between EURONEXT BEL-20 and CAC 40

0.91
Time Period2 Months [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for EURONEXT BEL-20 and CAC 40

EURONEXT BEL-20 diversification synergy

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding EURONEXT BEL-20 and CAC 40 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on CAC 40 and EURONEXT BEL-20 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 EURONEXT BEL-20 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 EURONEXT BEL-20 i.e. EURONEXT BEL-20 and CAC 40 go up and down completely randomly.
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