Correlation Analysis Between IBEX 35 and CAC 40

This module allows you to analyze existing cross correlation between IBEX 35 and CAC 40. You can compare the effects of market volatilities on IBEX 35 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 IBEX 35 with a short position of CAC 40. See also your portfolio center. Please also check ongoing floating volatility patterns of IBEX 35 and CAC 40.
Horizon     30 Days    Login   to change
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Comparative Performance

 Predicted Return Density 
      Returns 

IBEX 35  vs.  CAC 40

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, IBEX 35 is expected to generate 1.04 times more return on investment than CAC 40. However, IBEX 35 is 1.04 times more volatile than CAC 40. It trades about 0.03 of its potential returns per unit of risk. CAC 40 is currently generating about -0.07 per unit of risk. If you would invest  879,610  in IBEX 35 on November 14, 2018 and sell it today you would earn a total of  9,000  from holding IBEX 35 or generate 1.02% return on investment over 30 days.

Pair Corralation between IBEX 35 and CAC 40

0.61
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for IBEX 35 and CAC 40

IBEX 35 diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding IBEX 35 and CAC 40 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on CAC 40 and IBEX 35 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 IBEX 35 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 IBEX 35 i.e. IBEX 35 and CAC 40 go up and down completely randomly.
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