- Companies in United States
- Peer Analysis
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|
Predicted Return Density
S&P 500 vs. CAC 40
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 Period||2 Months [change]|
Diversification Opportunities for SP 500 and CAC 40
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.