Pair Correlation Between CAC 40 and Shanghai

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

Pair Volatility

Assuming 30 trading days horizon, CAC 40 is expected to generate 1.91 times less return on investment than Shanghai. In addition to that, CAC 40 is 1.15 times more volatile than Shanghai. It trades about 0.23 of its total potential returns per unit of risk. Shanghai is currently generating about 0.51 per unit of volatility. If you would invest  328,761  in Shanghai on December 20, 2017 and sell it today you would earn a total of  18,714  from holding Shanghai or generate 5.69% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between CAC 40 and Shanghai


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 Shanghai in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Shanghai 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 Shanghai. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Shanghai has no effect on the direction of CAC 40 i.e. CAC 40 and Shanghai go up and down completely randomly.

Comparative Volatility

 Predicted Return Density