Correlation Analysis Between CAC 40 and Israel Index

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

 Predicted Return Density 
      Returns 

CAC 40  vs.  Israel Index

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, CAC 40 is expected to generate 0.8 times more return on investment than Israel Index. However, CAC 40 is 1.24 times less risky than Israel Index. It trades about -0.1 of its potential returns per unit of risk. Israel Index is currently generating about -0.15 per unit of risk. If you would invest  556,309  in CAC 40 on May 17, 2019 and sell it today you would lose (20,348)  from holding CAC 40 or give up 3.66% of portfolio value over 30 days.

Pair Corralation between CAC 40 and Israel Index

0.75
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for CAC 40 and Israel Index

CAC 40 diversification synergy

Poor diversification

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