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This module allows you to analyze existing cross correlation between CAC 40 and Taiwan Wtd. You can compare the effects of market volatilities on CAC 40 and Taiwan Wtd 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 Taiwan Wtd. See also your portfolio center. Please also check ongoing floating volatility patterns of CAC 40 and Taiwan Wtd.
|Horizon||30 Days Login to change|
Predicted Return Density
CAC 40 vs. Taiwan Wtd
Assuming 30 trading days horizon, CAC 40 is expected to under-perform the Taiwan Wtd. In addition to that, CAC 40 is 1.03 times more volatile than Taiwan Wtd. It trades about -0.12 of its total potential returns per unit of risk. Taiwan Wtd is currently generating about -0.01 per unit of volatility. If you would invest 977,520 in Taiwan Wtd on November 18, 2018 and sell it today you would lose (5,638) from holding Taiwan Wtd or give up 0.58% of portfolio value over 30 days.
Pair Corralation between CAC 40 and Taiwan Wtd
|Time Period||2 Months [change]|
Diversification Opportunities for CAC 40 and Taiwan Wtd
Overlapping area represents the amount of risk that can be diversified away by holding CAC 40 and Taiwan Wtd in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Taiwan Wtd 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 Taiwan Wtd. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Taiwan Wtd has no effect on the direction of CAC 40 i.e. CAC 40 and Taiwan Wtd go up and down completely randomly.