This module allows you to analyze existing cross correlation between CAC 40 and XU100. You can compare the effects of market volatilities on CAC 40 and XU100 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 XU100. See also your portfolio center. Please also check ongoing floating volatility patterns of CAC 40 and XU100.
Assuming 30 trading days horizon, CAC 40 is expected to generate 16.51 times less return on investment than XU100. But when comparing it to its historical volatility, CAC 40 is 1.48 times less risky than XU100. It trades about 0.03 of its potential returns per unit of risk. XU100 is currently generating about 0.35 of returns per unit of risk over similar time horizon. If you would invest 8,873,476 in XU100 on August 26, 2018 and sell it today you would earn a total of 1,081,268 from holding XU100 or generate 12.19% return on investment over 30 days.
Overlapping area represents the amount of risk that can be diversified away by holding CAC 40 and XU100 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on XU100 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 XU100. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of XU100 has no effect on the direction of CAC 40 i.e. CAC 40 and XU100 go up and down completely randomly.
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