Correlation Analysis Between NYSE and CAC 40

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

Comparative Performance

 Predicted Return Density 
      Returns 

NYSE  vs.  CAC 40

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, NYSE is expected to under-perform the CAC 40. In addition to that, NYSE is 1.02 times more volatile than CAC 40. It trades about -0.14 of its total potential returns per unit of risk. CAC 40 is currently generating about -0.12 per unit of volatility. If you would invest  517,305  in CAC 40 on November 15, 2018 and sell it today you would lose (31,935)  from holding CAC 40 or give up 6.17% of portfolio value over 30 days.

Pair Corralation between NYSE and CAC 40

0.65
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy95.56%
ValuesDaily Returns

Diversification Opportunities for NYSE and CAC 40

NYSE diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding NYSE and CAC 40 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on CAC 40 and NYSE 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 NYSE 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 NYSE i.e. NYSE and CAC 40 go up and down completely randomly.
    Optimize

Thematic Opportunities

Explore Investment Opportunities

Build portfolios using Macroaxis predefined set of investing ideas. Many of Macroaxis investing ideas can easily outperform a given market. Ideas can also be optimized per your risk profile before portfolio origination is invoked.
Explore Thematic Ideas
Explore Investing Ideas  
See also your portfolio center. Please also try Equity Analysis module to research over 250,000 global equities including funds, stocks and etfs to find investment opportunities.


 
Search macroaxis.com