Correlation Between CAC 40 and CAC 40

By analyzing existing cross correlation between CAC 40 and CAC 40, you can compare the effects of market volatilities on CAC 40 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 CAC 40 with a short position of CAC 40. Check out your portfolio center. Please also check ongoing floating volatility patterns of CAC 40 and CAC 40.

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Can any of the company-specific risk be diversified away by investing in both CAC 40 and CAC 40 at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining CAC 40 and CAC 40 into the same portfolio, which is an essential part of the fundamental portfolio management process.

Diversification Opportunities for CAC 40 and CAC 40

1.0
  Correlation Coefficient
CAC 40
CAC 40

No risk reduction

The 3 months correlation between CAC 40 and CAC 40 is 1.0. Overlapping area represents the amount of risk that can be diversified away by holding CAC 40 and CAC 40 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on CAC 40 and CAC 40 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 CAC 40 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 CAC 40 i.e. CAC 40 and CAC 40 go up and down completely randomly.
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Pair Corralation between CAC 40 and CAC 40

Assuming the 30 trading days horizon, If you would invest  444,275  in CAC 40 on June 7, 2020 and sell it today you would earn a total of  58,669  from holding CAC 40 or generate 13.21% return on investment over 30 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

CAC 40  vs.  CAC 40

 Performance (%) 
      Timeline 
 Predicted Return Density 
      Returns 
Check out your portfolio center. Please also try Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.


 
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