Pair Correlation Between CAC 40 and ATX

This module allows you to analyze existing cross correlation between CAC 40 and ATX. You can compare the effects of market volatilities on CAC 40 and ATX 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 ATX. See also your portfolio center. Please also check ongoing floating volatility patterns of CAC 40 and ATX.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 CAC 40  vs   ATX
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, CAC 40 is expected to generate 2.37 times less return on investment than ATX. But when comparing it to its historical volatility, CAC 40 is 1.02 times less risky than ATX. It trades about 0.23 of its potential returns per unit of risk. ATX is currently generating about 0.54 of returns per unit of risk over similar time horizon. If you would invest  340,881  in ATX on December 20, 2017 and sell it today you would earn a total of  21,953  from holding ATX or generate 6.44% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between CAC 40 and ATX
0.83

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification

Very poor diversification

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

 Predicted Return Density 
      Returns