Correlation Analysis Between Russia TR and CAC 40

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

Russia TR  vs.  CAC 40

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, Russia TR is expected to generate 1.39 times more return on investment than CAC 40. However, Russia TR is 1.39 times more volatile than CAC 40. It trades about 0.33 of its potential returns per unit of risk. CAC 40 is currently generating about -0.06 per unit of risk. If you would invest  106,386  in Russia TR on June 15, 2018 and sell it today you would earn a total of  9,275  from holding Russia TR or generate 8.72% return on investment over 30 days.

Pair Corralation between Russia TR and CAC 40

Time Period1 Month [change]
ValuesDaily Returns


Very weak diversification

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

Comparative Volatility

 Predicted Return Density 

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See also your portfolio center. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.