Correlation Analysis Between CAC 40 and NZSE

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

 Predicted Return Density 
      Returns 

CAC 40  vs.  NZSE

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, CAC 40 is expected to generate 2.34 times more return on investment than NZSE. However, CAC 40 is 2.34 times more volatile than NZSE. It trades about 0.23 of its potential returns per unit of risk. NZSE is currently generating about 0.37 per unit of risk. If you would invest  466,894  in CAC 40 on January 20, 2019 and sell it today you would earn a total of  49,158  from holding CAC 40 or generate 10.53% return on investment over 30 days.

Pair Corralation between CAC 40 and NZSE

0.67
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy67.57%
ValuesDaily Returns

Diversification Opportunities for CAC 40 and NZSE

CAC 40 diversification synergy

Poor diversification

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