This module allows you to analyze existing cross correlation between CAC 40 and All Ords. You can compare the effects of market volatilities on CAC 40 and All Ords 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 CAC 40 with a short position of All Ords. See also your portfolio center. Please also check ongoing floating volatility patterns of CAC 40 and All Ords.
Assuming 30 trading days horizon, CAC 40 is expected to generate 3.3 times less return on investment than All Ords. In addition to that, CAC 40 is 1.78 times more volatile than All Ords. It trades about 0.01 of its total potential returns per unit of risk. All Ords is currently generating about 0.08 per unit of volatility. If you would invest 632,210 in All Ords on June 22, 2018 and sell it today you would earn a total of 5,530 from holding All Ords or generate 0.87% return on investment over 30 days.
Overlapping area represents the amount of risk that can be diversified away by holding CAC 40 and All Ords in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on All Ords and CAC 40 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 CAC 40 are associated (or correlated) with All Ords. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of All Ords has no effect on the direction of CAC 40 i.e. CAC 40 and All Ords go up and down completely randomly.
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