This module allows you to analyze existing cross correlation between CAC 40 and Russell 2000 . You can compare the effects of market volatilities on CAC 40 and Russell 2000 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 Russell 2000. See also your portfolio center. Please also check ongoing floating volatility patterns of CAC 40 and Russell 2000.
|Investment Horizon||30 Days Login to change|
Assuming 30 trading days horizon, CAC 40 is expected to under-perform the Russell 2000. But the index apears to be less risky and, when comparing its historical volatility, CAC 40 is 1.14 times less risky than Russell 2000. The index trades about -0.11 of its potential returns per unit of risk. The Russell 2000 is currently generating about -0.02 of returns per unit of risk over similar time horizon. If you would invest 149,749 in Russell 2000 on October 21, 2017 and sell it today you would lose (467) from holding Russell 2000 or give up 0.31% of portfolio value over 30 days.