Pair Correlation Between CAC 40 and OMX COPENHAGEN

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

Pair Volatility

Assuming 30 trading days horizon, CAC 40 is expected to generate 0.69 times more return on investment than OMX COPENHAGEN. However, CAC 40 is 1.44 times less risky than OMX COPENHAGEN. It trades about -0.08 of its potential returns per unit of risk. OMX COPENHAGEN is currently generating about -0.22 per unit of risk. If you would invest  537,238  in CAC 40 on October 20, 2017 and sell it today you would lose (5,321)  from holding CAC 40 or give up 0.99% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between CAC 40 and OMX COPENHAGEN
0.74

Parameters

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

Diversification

Poor diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns