Correlation Analysis Between CAC 40 and BSE

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

CAC 40  vs.  BSE

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, CAC 40 is expected to generate 15.54 times less return on investment than BSE. In addition to that, CAC 40 is 1.41 times more volatile than BSE. It trades about 0.01 of its total potential returns per unit of risk. BSE is currently generating about 0.22 per unit of volatility. If you would invest  3,528,674  in BSE on June 18, 2018 and sell it today you would earn a total of  121,379  from holding BSE or generate 3.44% return on investment over 30 days.

Pair Corralation between CAC 40 and BSE

0.79
Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy96.67%
ValuesDaily Returns

Diversification

Poor diversification

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

 Predicted Return Density 
      Returns 

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