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.
 Time Horizon     30 Days    Login   to change
Symbolsvs

MerVal  vs.  CAC 40

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to under-perform the CAC 40. In addition to that, MerVal is 3.79 times more volatile than CAC 40. It trades about -0.08 of its total potential returns per unit of risk. CAC 40 is currently generating about -0.02 per unit of volatility. If you would invest  538,738  in CAC 40 on June 23, 2018 and sell it today you would lose (2,437)  from holding CAC 40 or give up 0.45% of portfolio value over 30 days.

Pair Corralation between MerVal and CAC 40

0.91
Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy96.67%
ValuesDaily Returns

Diversification

Almost no 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.
    Optimize

Comparative Volatility

 Predicted Return Density 
      Returns 

My Equities

My Current Equities and Potential Positions
View AllNext
GOOG - USA Stock
Alphabet
Specialization
IT, Search Cloud And Integrated IT Services
Business Address1600 Amphitheatre Parkway
ExchangeNASDAQ
$1196.08

Thematic Opportunities

Explore Investment Opportunities
Build portfolios using Macroaxis predefined set of investing ideas. Many of Macroaxis investing ideas can easily outperform a given market. Ideas can also be optimized per your risk profile before portfolio origination is invoked.
Explore Thematic Ideas
Explore Investing Ideas  
See also your portfolio center. Please also try Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.


 
vendors/bower_components/jquery.easy-pie-chart/dist/jquery.easypiechart.min.js">