- Companies in United States
- Peer Analysis
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|
Predicted Return Density
CAC 40 vs. NZSE
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
|Time Period||2 Months [change]|
Diversification Opportunities for CAC 40 and NZSE
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.