Correlation Between Amundi SP and Amundi MSCI
Can any of the company-specific risk be diversified away by investing in both Amundi SP and Amundi MSCI 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 Amundi SP and Amundi MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Amundi SP 500 and Amundi MSCI Europe, you can compare the effects of market volatilities on Amundi SP and Amundi MSCI 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 Amundi SP with a short position of Amundi MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amundi SP and Amundi MSCI.
Diversification Opportunities for Amundi SP and Amundi MSCI
-0.27 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Amundi and Amundi is -0.27. Overlapping area represents the amount of risk that can be diversified away by holding Amundi SP 500 and Amundi MSCI Europe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi MSCI Europe and Amundi SP 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 Amundi SP 500 are associated (or correlated) with Amundi MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi MSCI Europe has no effect on the direction of Amundi SP i.e., Amundi SP and Amundi MSCI go up and down completely randomly.
Pair Corralation between Amundi SP and Amundi MSCI
Assuming the 90 days trading horizon Amundi SP 500 is expected to generate 1.14 times more return on investment than Amundi MSCI. However, Amundi SP is 1.14 times more volatile than Amundi MSCI Europe. It trades about 0.09 of its potential returns per unit of risk. Amundi MSCI Europe is currently generating about 0.05 per unit of risk. If you would invest 27,090 in Amundi SP 500 on September 12, 2024 and sell it today you would earn a total of 5,825 from holding Amundi SP 500 or generate 21.5% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Amundi SP 500 vs. Amundi MSCI Europe
Performance |
| Timeline |
| Amundi SP 500 |
| Amundi MSCI Europe |
Amundi SP and Amundi MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Amundi SP and Amundi MSCI
The main advantage of trading using opposite Amundi SP and Amundi MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amundi SP position performs unexpectedly, Amundi MSCI 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 MSCI will offset losses from the drop in Amundi MSCI's long position.| Amundi SP vs. Lyxor UCITS Japan | Amundi SP vs. Lyxor UCITS Japan | Amundi SP vs. Lyxor UCITS Stoxx | Amundi SP vs. Amundi CAC 40 |
| Amundi MSCI vs. Lyxor UCITS Japan | Amundi MSCI vs. Lyxor UCITS Japan | Amundi MSCI vs. Lyxor UCITS Stoxx | Amundi MSCI vs. Amundi CAC 40 |
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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.
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