Pair Correlation Between CAC 40 and FTSE MIB

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

Pair Volatility

Assuming 30 trading days horizon, CAC 40 is expected to under-perform the FTSE MIB. But the index apears to be less risky and, when comparing its historical volatility, CAC 40 is 1.26 times less risky than FTSE MIB. The index trades about -0.07 of its potential returns per unit of risk. The FTSE MIB is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest  2,213,321  in FTSE MIB on October 19, 2017 and sell it today you would earn a total of  7,339  from holding FTSE MIB or generate 0.33% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between CAC 40 and FTSE MIB
0.7

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy90.91%
ValuesDaily Returns

Diversification

Poor diversification

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

 Predicted Return Density 
      Returns