Correlation Analysis Between CAC 40 and DOW

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

 Predicted Return Density 
      Returns 

CAC 40  vs.  DOW

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, CAC 40 is expected to generate 1.11 times more return on investment than DOW. However, CAC 40 is 1.11 times more volatile than DOW. It trades about 0.01 of its potential returns per unit of risk. DOW is currently generating about -0.03 per unit of risk. If you would invest  561,438  in CAC 40 on September 14, 2019 and sell it today you would earn a total of  2,870  from holding CAC 40 or generate 0.51% return on investment over 30 days.

Pair Corralation between CAC 40 and DOW

0.87
Time Period3 Months [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for CAC 40 and DOW

CAC 40 diversification synergy

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding CAC 40 and DOW in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on DOW and CAC 40 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 CAC 40 are associated (or correlated) with DOW. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of DOW has no effect on the direction of CAC 40 i.e. CAC 40 and DOW go up and down completely randomly.
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See also your portfolio center. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.


 
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