Correlation Between Lyxor MSCI and Amundi ETF
Can any of the company-specific risk be diversified away by investing in both Lyxor MSCI and Amundi ETF 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 Lyxor MSCI and Amundi ETF into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor MSCI China and Amundi ETF MSCI, you can compare the effects of market volatilities on Lyxor MSCI and Amundi ETF 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 Lyxor MSCI with a short position of Amundi ETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor MSCI and Amundi ETF.
Diversification Opportunities for Lyxor MSCI and Amundi ETF
0.11 | Correlation Coefficient |
Average diversification
The 3 months correlation between Lyxor and Amundi is 0.11. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor MSCI China and Amundi ETF MSCI in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi ETF MSCI and Lyxor MSCI 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 Lyxor MSCI China are associated (or correlated) with Amundi ETF. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi ETF MSCI has no effect on the direction of Lyxor MSCI i.e., Lyxor MSCI and Amundi ETF go up and down completely randomly.
Pair Corralation between Lyxor MSCI and Amundi ETF
Assuming the 90 days trading horizon Lyxor MSCI China is expected to under-perform the Amundi ETF. In addition to that, Lyxor MSCI is 1.89 times more volatile than Amundi ETF MSCI. It trades about -0.08 of its total potential returns per unit of risk. Amundi ETF MSCI is currently generating about -0.1 per unit of volatility. If you would invest 38,090 in Amundi ETF MSCI on September 3, 2024 and sell it today you would lose (755.00) from holding Amundi ETF MSCI or give up 1.98% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor MSCI China vs. Amundi ETF MSCI
Performance |
| Timeline |
| Lyxor MSCI China |
| Amundi ETF MSCI |
Lyxor MSCI and Amundi ETF Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor MSCI and Amundi ETF
The main advantage of trading using opposite Lyxor MSCI and Amundi ETF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor MSCI position performs unexpectedly, Amundi ETF can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Amundi ETF will offset losses from the drop in Amundi ETF's long position.| Lyxor MSCI vs. Lyxor SP 500 | Lyxor MSCI vs. Lyxor UCITS Daily | Lyxor MSCI vs. Lyxor UCITS MSCI | Lyxor MSCI vs. Lyxor Treasury 10Y |
| Amundi ETF vs. Amundi ETF DAX | Amundi ETF vs. Amundi Index Solutions | Amundi ETF vs. Amundi Index Solutions | Amundi ETF vs. Amundi Index Solutions |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.
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