Pair Correlation 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 1.43 times more volatile than CAC 40. It trades about -0.09 of its total potential returns per unit of risk. CAC 40 is currently generating about 0.05 per unit of volatility. If you would invest  528,986  in CAC 40 on March 22, 2018 and sell it today you would earn a total of  10,178  from holding CAC 40 or generate 1.92% return on investment over 30 days.

Pair Corralation between MerVal and CAC 40

0.85
Time Period2 Months [change]
DirectionPositive 
StrengthStrong
Accuracy98.0%
ValuesDaily 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.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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See also your portfolio center. Please also try Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.