Correlation Analysis Between SP 500 and CAC 40

This module allows you to analyze existing cross correlation between S&P 500 and CAC 40. You can compare the effects of market volatilities on SP 500 and CAC 40 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 SP 500 with a short position of CAC 40. See also your portfolio center. Please also check ongoing floating volatility patterns of SP 500 and CAC 40.
Horizon     30 Days    Login   to change
Compare Efficiency

Comparative Performance

 Predicted Return Density 

S&P 500  vs.  CAC 40

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, S&P 500 is expected to under-perform the CAC 40. In addition to that, SP 500 is 1.23 times more volatile than CAC 40. It trades about -0.14 of its total potential returns per unit of risk. CAC 40 is currently generating about -0.13 per unit of volatility. If you would invest  508,466  in CAC 40 on November 18, 2018 and sell it today you would lose (33,058)  from holding CAC 40 or give up 6.5% of portfolio value over 30 days.

Pair Corralation between SP 500 and CAC 40

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for SP 500 and CAC 40

S&P 500 diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding S&P 500 and CAC 40 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on CAC 40 and SP 500 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 S&P 500 are associated (or correlated) with CAC 40. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CAC 40 has no effect on the direction of SP 500 i.e. SP 500 and CAC 40 go up and down completely randomly.

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See also your portfolio center. Please also try Fundamentals Matrix module to view fundamentals matrix and analyze how accounts are interrelated and interconnected with each other.