Correlation Analysis Between XU100 and CAC 40

This module allows you to analyze existing cross correlation between XU100 and CAC 40. You can compare the effects of market volatilities on XU100 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 XU100 with a short position of CAC 40. See also your portfolio center. Please also check ongoing floating volatility patterns of XU100 and CAC 40.
Horizon     30 Days    Login   to change
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Comparative Performance

 Predicted Return Density 
      Returns 

XU100  vs.  CAC 40

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, XU100 is expected to generate 1.64 times more return on investment than CAC 40. However, XU100 is 1.64 times more volatile than CAC 40. It trades about 0.33 of its potential returns per unit of risk. CAC 40 is currently generating about 0.17 per unit of risk. If you would invest  9,142,655  in XU100 on January 18, 2019 and sell it today you would earn a total of  1,128,846  from holding XU100 or generate 12.35% return on investment over 30 days.

Pair Corralation between XU100 and CAC 40

0.2
Time Period2 Months [change]
DirectionPositive 
StrengthVery Weak
Accuracy48.72%
ValuesDaily Returns

Diversification Opportunities for XU100 and CAC 40

XU100 diversification synergy

Modest diversification

Overlapping area represents the amount of risk that can be diversified away by holding XU100 and CAC 40 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on CAC 40 and XU100 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 XU100 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 XU100 i.e. XU100 and CAC 40 go up and down completely randomly.
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