Correlation Analysis Between MerVal and CAC 40 |
This module allows you to analyze existing cross correlation between MerVal and CAC 40. You can compare the effects of market volatilities on MerVal 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 MerVal with a short position of CAC 40. See also your portfolio center. Please also check ongoing floating volatility patterns of MerVal and CAC 40.
| Horizon | 30 Days Login to change |
| Symbols | vs |
MerVal vs. CAC 40
Pair Volatility
Assuming 30 trading days horizon, MerVal is expected to generate 3.44 times more return on investment than CAC 40. However, MerVal is 3.44 times more volatile than CAC 40. It trades about -0.02 of its potential returns per unit of risk. CAC 40 is currently generating about -0.13 per unit of risk. If you would invest 3,019,878 in MerVal on September 17, 2018 and sell it today you would lose (93,578) from holding MerVal or give up 3.1% of portfolio value over 30 days.
Pair Corralation between MerVal and CAC 40
0.86
| Time Period | 1 Month [change] |
| Direction | Positive |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Diversification
Very poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding MerVal and CAC 40 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on CAC 40 and MerVal 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 MerVal 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 MerVal i.e. MerVal and CAC 40 go up and down completely randomly.
Comparative Volatility
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See also your portfolio center. Please also try Balance Of Power module to check stock momentum by analyzing balance of power indicator and other technical ratios.
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