Correlation Analysis Between CAC 40 and Seoul Comp

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

CAC 40  vs.  Seoul Comp

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, CAC 40 is expected to under-perform the Seoul Comp. But the index apears to be less risky and, when comparing its historical volatility, CAC 40 is 1.22 times less risky than Seoul Comp. The index trades about -0.22 of its potential returns per unit of risk. The Seoul Comp is currently generating about -0.15 of returns per unit of risk over similar time horizon. If you would invest  245,559  in Seoul Comp on May 26, 2018 and sell it today you would lose (9,771)  from holding Seoul Comp or give up 3.98% of portfolio value over 30 days.

Pair Corralation between CAC 40 and Seoul Comp

0.55
Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification

Very weak diversification

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

 Predicted Return Density 
      Returns 

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See also your portfolio center. Please also try Volatility Analysis module to get historical volatility and risk analysis based on latest market data.