Correlation Analysis Between Greece TR and CAC 40

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

Greece TR  vs.  CAC 40

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Greece TR is expected to under-perform the CAC 40. In addition to that, Greece TR is 1.47 times more volatile than CAC 40. It trades about -0.1 of its total potential returns per unit of risk. CAC 40 is currently generating about 0.01 per unit of volatility. If you would invest  538,738  in CAC 40 on June 23, 2018 and sell it today you would earn a total of  1,094  from holding CAC 40 or generate 0.2% return on investment over 30 days.

Pair Corralation between Greece TR and CAC 40

-0.24
Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy72.41%
ValuesDaily Returns

Diversification

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding Greece TR and CAC 40 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on CAC 40 and Greece TR 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 Greece TR 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 Greece TR i.e. Greece TR 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.


 
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