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This module allows you to analyze existing cross correlation between Hang Seng and CAC 40. You can compare the effects of market volatilities on Hang Seng 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 Hang Seng with a short position of CAC 40. See also your portfolio center. Please also check ongoing floating volatility patterns of Hang Seng and CAC 40.
|Horizon||30 Days Login to change|
Predicted Return Density
Hang Seng vs. CAC 40
Given the investment horizon of 30 days, Hang Seng is expected to generate 137.35 times more return on investment than CAC 40. However, Hang Seng is 137.35 times more volatile than CAC 40. It trades about 0.15 of its potential returns per unit of risk. CAC 40 is currently generating about -0.12 per unit of risk. If you would invest 2,614,391 in Hang Seng on November 18, 2018 and sell it today you would lose (32,966) from holding Hang Seng or give up 1.26% of portfolio value over 30 days.
Pair Corralation between Hang Seng and CAC 40
|Time Period||2 Months [change]|
Diversification Opportunities for Hang Seng and CAC 40
Overlapping area represents the amount of risk that can be diversified away by holding Hang Seng and CAC 40 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on CAC 40 and Hang Seng 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 Hang Seng 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 Hang Seng i.e. Hang Seng and CAC 40 go up and down completely randomly.