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- Peer Analysis
This module allows you to analyze existing cross correlation between CAC 40 and NQEGT. You can compare the effects of market volatilities on CAC 40 and NQEGT 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 NQEGT. See also your portfolio center. Please also check ongoing floating volatility patterns of CAC 40 and NQEGT.
|Horizon||30 Days Login to change|
Predicted Return Density
CAC 40 vs. NQEGT
Assuming 30 trading days horizon, CAC 40 is expected to under-perform the NQEGT. But the index apears to be less risky and, when comparing its historical volatility, CAC 40 is 1.85 times less risky than NQEGT. The index trades about -0.12 of its potential returns per unit of risk. The NQEGT is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest 106,898 in NQEGT on November 18, 2018 and sell it today you would lose (1,876) from holding NQEGT or give up 1.75% of portfolio value over 30 days.
Pair Corralation between CAC 40 and NQEGT
|Time Period||2 Months [change]|
Diversification Opportunities for CAC 40 and NQEGT
Overlapping area represents the amount of risk that can be diversified away by holding CAC 40 and NQEGT in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NQEGT 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 NQEGT. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NQEGT has no effect on the direction of CAC 40 i.e. CAC 40 and NQEGT go up and down completely randomly.