Correlation Between Lyxor UCITS and Amundi CAC
Can any of the company-specific risk be diversified away by investing in both Lyxor UCITS and Amundi CAC 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 UCITS and Amundi CAC into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor UCITS Daily and Amundi CAC 40, you can compare the effects of market volatilities on Lyxor UCITS and Amundi CAC 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 UCITS with a short position of Amundi CAC. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor UCITS and Amundi CAC.
Diversification Opportunities for Lyxor UCITS and Amundi CAC
0.02 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Lyxor and Amundi is 0.02. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS Daily and Amundi CAC 40 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi CAC 40 and Lyxor UCITS 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 UCITS Daily are associated (or correlated) with Amundi CAC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi CAC 40 has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and Amundi CAC go up and down completely randomly.
Pair Corralation between Lyxor UCITS and Amundi CAC
Assuming the 90 days trading horizon Lyxor UCITS Daily is expected to under-perform the Amundi CAC. In addition to that, Lyxor UCITS is 1.16 times more volatile than Amundi CAC 40. It trades about -0.18 of its total potential returns per unit of risk. Amundi CAC 40 is currently generating about 0.16 per unit of volatility. If you would invest 7,149 in Amundi CAC 40 on September 17, 2024 and sell it today you would earn a total of 142.00 from holding Amundi CAC 40 or generate 1.99% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor UCITS Daily vs. Amundi CAC 40
Performance |
| Timeline |
| Lyxor UCITS Daily |
| Amundi CAC 40 |
Lyxor UCITS and Amundi CAC Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor UCITS and Amundi CAC
The main advantage of trading using opposite Lyxor UCITS and Amundi CAC positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS position performs unexpectedly, Amundi CAC 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 CAC will offset losses from the drop in Amundi CAC's long position.The idea behind Lyxor UCITS Daily and Amundi CAC 40 pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| Amundi CAC vs. Deutsche Telekom AG | Amundi CAC vs. Volkswagen AG | Amundi CAC vs. Bayerische Motoren Werke | Amundi CAC vs. Mnchener Rck AG |
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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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