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.
Horizon     30 Days    Login   to change
Symbolsvs

NYSE  vs.  CAC 40

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, NYSE is expected to generate 0.83 times more return on investment than CAC 40. However, NYSE is 1.2 times less risky than CAC 40. It trades about -0.16 of its potential returns per unit of risk. CAC 40 is currently generating about -0.18 per unit of risk. If you would invest  1,309,199  in NYSE on September 18, 2018 and sell it today you would lose (44,604)  from holding NYSE or give up 3.41% of portfolio value over 30 days.

Pair Corralation between NYSE and CAC 40

0.91
Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy95.65%
ValuesDaily Returns

Diversification

Almost no 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.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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GOOG - USA Stock
Alphabet
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IT, Search Cloud And Integrated IT Services
Business Address1600 Amphitheatre Parkway
ExchangeNASDAQ
$1092.25

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