Pair Correlation Between OMX COPENHAGEN and CAC 40

This module allows you to analyze existing cross correlation between OMX COPENHAGEN and CAC 40. You can compare the effects of market volatilities on OMX COPENHAGEN 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 OMX COPENHAGEN with a short position of CAC 40. See also your portfolio center. Please also check ongoing floating volatility patterns of OMX COPENHAGEN and CAC 40.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 OMX COPENHAGEN  vs   CAC 40
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, OMX COPENHAGEN is expected to under-perform the CAC 40. In addition to that, OMX COPENHAGEN is 1.38 times more volatile than CAC 40. It trades about -0.2 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  537,489  in CAC 40 on October 25, 2017 and sell it today you would earn a total of  465  from holding CAC 40 or generate 0.09% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between OMX COPENHAGEN and CAC 40
0.9

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification

Almost no diversification

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

 Predicted Return Density 
      Returns