Correlation Analysis Between BSE and CAC 40

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

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, BSE is expected to under-perform the CAC 40. But the index apears to be less risky and, when comparing its historical volatility, BSE is 1.59 times less risky than CAC 40. The index trades about -0.42 of its potential returns per unit of risk. The CAC 40 is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest  541,932  in CAC 40 on August 26, 2018 and sell it today you would earn a total of  3,119  from holding CAC 40 or generate 0.58% return on investment over 30 days.

Pair Corralation between BSE and CAC 40

0.0
Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Pay attention

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

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