Correlation Analysis Between CAC 40 and Swiss Mrt

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

CAC 40  vs.  Swiss Mrt

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, CAC 40 is expected to under-perform the Swiss Mrt. But the index apears to be less risky and, when comparing its historical volatility, CAC 40 is 1.08 times less risky than Swiss Mrt. The index trades about -0.03 of its potential returns per unit of risk. The Swiss Mrt is currently generating about 0.16 of returns per unit of risk over similar time horizon. If you would invest  851,957  in Swiss Mrt on June 17, 2018 and sell it today you would earn a total of  32,839  from holding Swiss Mrt or generate 3.85% return on investment over 30 days.

Pair Corralation between CAC 40 and Swiss Mrt

1.0
Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification

No risk reduction

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

 Predicted Return Density 
      Returns 

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