Pair Correlation 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.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 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 1.5 times less risky than CAC 40. The index trades about -0.4 of its potential returns per unit of risk. The CAC 40 is currently generating about -0.18 of returns per unit of risk over similar time horizon. If you would invest  554,199  in CAC 40 on January 22, 2018 and sell it today you would lose (25,213)  from holding CAC 40 or give up 4.55% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between BSE and CAC 40
0.74

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy86.96%
ValuesDaily Returns

Diversification

Poor diversification

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

 Predicted Return Density 
      Returns