Pair Correlation Between CAC 40 and EURONEXT BEL-20

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

Pair Volatility

Assuming 30 trading days horizon, CAC 40 is expected to generate 1.04 times more return on investment than EURONEXT BEL-20. However, CAC 40 is 1.04 times more volatile than EURONEXT BEL-20. It trades about -0.11 of its potential returns per unit of risk. EURONEXT BEL-20 is currently generating about -0.3 per unit of risk. If you would invest  538,681  in CAC 40 on October 21, 2017 and sell it today you would lose (6,764)  from holding CAC 40 or give up 1.26% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between CAC 40 and EURONEXT BEL-20


Time Period1 Month [change]
ValuesDaily Returns


Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding CAC 40 and EURONEXT BEL-20 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on EURONEXT BEL-20 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 EURONEXT BEL-20. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of EURONEXT BEL-20 has no effect on the direction of CAC 40 i.e. CAC 40 and EURONEXT BEL-20 go up and down completely randomly.

Comparative Volatility

 Predicted Return Density