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.
 Time Horizon     30 Days    Login   to change
Symbolsvs

CAC 40  vs.  FTSE MIB

 Performance (%) 
      Timeline 

Pair Volatility

If you would invest  531,737  in CAC 40 on March 26, 2018 and sell it today you would earn a total of  12,118  from holding CAC 40 or generate 2.28% return on investment over 30 days.

Pair Corralation between CAC 40 and FTSE MIB

-0.54
Time Period2 Months [change]
DirectionNegative 
StrengthVery Weak
Accuracy2.04%
ValuesDaily Returns

Diversification

Excellent 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 

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