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 PEA, 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
0.97 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Lyxor and Amundi is 0.97. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor MSCI China and Amundi ETF PEA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi ETF PEA 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 PEA 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 2.15 times more volatile than Amundi ETF PEA. It trades about -0.05 of its total potential returns per unit of risk. Amundi ETF PEA is currently generating about -0.03 per unit of volatility. If you would invest 2,348 in Amundi ETF PEA on September 2, 2024 and sell it today you would lose (15.00) from holding Amundi ETF PEA or give up 0.64% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor MSCI China vs. Amundi ETF PEA
Performance |
| Timeline |
| Lyxor MSCI China |
| Amundi ETF PEA |
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. Manitou BF SA | Lyxor MSCI vs. Granite 3x LVMH | Lyxor MSCI vs. 21Shares Polkadot ETP | Lyxor MSCI vs. Ekinops SA |
| Amundi ETF vs. Manitou BF SA | Amundi ETF vs. Granite 3x LVMH | Amundi ETF vs. 21Shares Polkadot ETP | Amundi ETF vs. Ekinops SA |
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 Balance Of Power module to check stock momentum by analyzing Balance Of Power indicator and other technical ratios.
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