Pair Correlation Between CAC 40 and Straits Tms

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

Pair Volatility

Assuming 30 trading days horizon, CAC 40 is expected to generate 1.76 times less return on investment than Straits Tms. In addition to that, CAC 40 is 1.4 times more volatile than Straits Tms. It trades about 0.15 of its total potential returns per unit of risk. Straits Tms is currently generating about 0.36 per unit of volatility. If you would invest  341,482  in Straits Tms on December 17, 2017 and sell it today you would earn a total of  10,574  from holding Straits Tms or generate 3.1% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between CAC 40 and Straits Tms


Time Period1 Month [change]
ValuesDaily Returns


Very poor diversification

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

Comparative Volatility

 Predicted Return Density