Pair Correlation Between CAC 40 and Bovespa

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

Pair Volatility

Assuming 30 trading days horizon, CAC 40 is expected to generate 0.4 times more return on investment than Bovespa. However, CAC 40 is 2.53 times less risky than Bovespa. It trades about 0.01 of its potential returns per unit of risk. Bovespa is currently generating about -0.09 per unit of risk. If you would invest  537,489  in CAC 40 on October 25, 2017 and sell it today you would earn a total of  465  from holding CAC 40 or generate 0.09% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between CAC 40 and Bovespa
0.69

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 CAC 40 and Bovespa in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bovespa 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 Bovespa. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bovespa has no effect on the direction of CAC 40 i.e. CAC 40 and Bovespa go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns