Correlation Analysis Between Straits Tms and CAC 40

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

 Predicted Return Density 
      Returns 

Straits Tms  vs.  CAC 40

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Straits Tms is expected to generate 1.46 times less return on investment than CAC 40. But when comparing it to its historical volatility, Straits Tms is 1.6 times less risky than CAC 40. It trades about 0.26 of its potential returns per unit of risk. CAC 40 is currently generating about 0.23 of returns per unit of risk over similar time horizon. 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 Straits Tms and CAC 40

0.71
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy89.19%
ValuesDaily Returns

Diversification Opportunities for Straits Tms and CAC 40

Straits Tms diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Straits Tms and CAC 40 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on CAC 40 and Straits Tms 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 Straits Tms 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 Straits Tms i.e. Straits Tms and CAC 40 go up and down completely randomly.
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See also your portfolio center. Please also try Money Flow Index module to determine momentum by analyzing money flow index and other technical indicators.


 
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