Correlation Analysis Between NYSE and CAC 40 |
This module allows you to analyze existing cross correlation between NYSE and CAC 40. You can compare the effects of market volatilities on NYSE 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 NYSE with a short position of CAC 40. See also your portfolio center. Please also check ongoing floating volatility patterns of NYSE and CAC 40.
| Time Horizon | 30 Days Login to change |
| Symbols | vs |
NYSE vs. CAC 40
Pair Volatility
Given the investment horizon of 30 days, NYSE is expected to generate 0.76 times more return on investment than CAC 40. However, NYSE is 1.31 times less risky than CAC 40. It trades about 0.1 of its potential returns per unit of risk. CAC 40 is currently generating about 0.01 per unit of risk. If you would invest 1,263,957 in NYSE on June 22, 2018 and sell it today you would earn a total of 15,034 from holding NYSE or generate 1.19% return on investment over 30 days.
Pair Corralation between NYSE and CAC 40
0.57
| Time Period | 1 Month [change] |
| Direction | Positive |
| Strength | Weak |
| Accuracy | 80.0% |
| Values | Daily Returns |
Diversification
Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding NYSE and CAC 40 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on CAC 40 and NYSE 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 NYSE 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 NYSE i.e. NYSE and CAC 40 go up and down completely randomly.
Comparative Volatility
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Thematic Opportunities
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See also your portfolio center. Please also try World Markets Correlation module to find global opportunities by holding instruments from different markets.