Correlation Analysis Between CAC 40 and ISEQ

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

 Predicted Return Density 
      Returns 

CAC 40  vs.  ISEQ

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, CAC 40 is expected to generate 1.2 times less return on investment than ISEQ. In addition to that, CAC 40 is 1.09 times more volatile than ISEQ. It trades about 0.17 of its total potential returns per unit of risk. ISEQ is currently generating about 0.22 per unit of volatility. If you would invest  544,379  in ISEQ on January 18, 2019 and sell it today you would earn a total of  52,548  from holding ISEQ or generate 9.65% return on investment over 30 days.

Pair Corralation between CAC 40 and ISEQ

0.83
Time Period2 Months [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for CAC 40 and ISEQ

CAC 40 diversification synergy

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding CAC 40 and ISEQ in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on ISEQ 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 ISEQ. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ISEQ has no effect on the direction of CAC 40 i.e. CAC 40 and ISEQ go up and down completely randomly.
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