Correlation Analysis Between Madrid Gnrl and CAC 40

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

Madrid Gnrl  vs.  CAC 40

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Madrid Gnrl is expected to generate 0.98 times more return on investment than CAC 40. However, Madrid Gnrl is 1.02 times less risky than CAC 40. It trades about -0.02 of its potential returns per unit of risk. CAC 40 is currently generating about -0.03 per unit of risk. If you would invest  98,796  in Madrid Gnrl on June 17, 2018 and sell it today you would lose (321.00)  from holding Madrid Gnrl or give up 0.32% of portfolio value over 30 days.

Pair Corralation between Madrid Gnrl and CAC 40

-0.32
Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy72.41%
ValuesDaily Returns

Diversification

Very good diversification

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

 Predicted Return Density 
      Returns 

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