Correlation Analysis Between ISEQ and CAC 40

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

 Predicted Return Density 
      Returns 

ISEQ  vs.  CAC 40

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, ISEQ is expected to under-perform the CAC 40. In addition to that, ISEQ is 1.08 times more volatile than CAC 40. It trades about -0.16 of its total potential returns per unit of risk. CAC 40 is currently generating about -0.1 per unit of volatility. 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 ISEQ and CAC 40

0.9
Time Period2 Months [change]
DirectionPositive 
StrengthVery Strong
Accuracy97.56%
ValuesDaily Returns

Diversification Opportunities for ISEQ and CAC 40

ISEQ diversification synergy

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding ISEQ and CAC 40 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on CAC 40 and ISEQ 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 ISEQ 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 ISEQ i.e. ISEQ and CAC 40 go up and down completely randomly.
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See also your portfolio center. Please also try Pattern Recognition module to use different pattern recognition models to time the market across multiple global exchanges.


 
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