Correlation Analysis Between NASDAQ Italy and CAC 40

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

 Predicted Return Density 
      Returns 

NASDAQ Italy  vs.  CAC 40

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, NASDAQ Italy is expected to generate 1.43 times more return on investment than CAC 40. However, NASDAQ Italy is 1.43 times more volatile than CAC 40. It trades about 0.05 of its potential returns per unit of risk. CAC 40 is currently generating about 0.02 per unit of risk. If you would invest  109,487  in NASDAQ Italy on September 18, 2019 and sell it today you would earn a total of  3,041  from holding NASDAQ Italy or generate 2.78% return on investment over 30 days.

Pair Corralation between NASDAQ Italy and CAC 40

-0.35
Time Period3 Months [change]
DirectionNegative 
StrengthInsignificant
Accuracy59.38%
ValuesDaily Returns

Diversification Opportunities for NASDAQ Italy and CAC 40

NASDAQ Italy diversification synergy

Very good diversification

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