Correlation Analysis Between DAX and CAC 40

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

Comparative Performance

 Predicted Return Density 

DAX  vs.  CAC 40

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, DAX is expected to generate 1.05 times more return on investment than CAC 40. However, DAX is 1.05 times more volatile than CAC 40. It trades about -0.03 of its potential returns per unit of risk. CAC 40 is currently generating about -0.1 per unit of risk. If you would invest  1,215,307  in DAX on May 17, 2019 and sell it today you would lose (12,932)  from holding DAX or give up 1.06% of portfolio value over 30 days.

Pair Corralation between DAX and CAC 40

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for DAX and CAC 40

DAX diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding DAX and CAC 40 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on CAC 40 and DAX 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 DAX are associated (or correlated) with CAC 40. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CAC 40 has no effect on the direction of DAX i.e. DAX and CAC 40 go up and down completely randomly.
See also your portfolio center. Please also try Idea Breakdown module to analyze constituents of all macroaxis ideas. macroaxis investment ideas are predefined, sector-focused investing themes.