Correlation Between Amundi ETF and Lyxor MSCI
Can any of the company-specific risk be diversified away by investing in both Amundi ETF and Lyxor 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 ETF and Lyxor MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Amundi ETF Govies and Lyxor MSCI Semiconductors, you can compare the effects of market volatilities on Amundi ETF and Lyxor 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 ETF with a short position of Lyxor MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amundi ETF and Lyxor MSCI.
Diversification Opportunities for Amundi ETF and Lyxor MSCI
0.66 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Amundi and Lyxor is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding Amundi ETF Govies and Lyxor MSCI Semiconductors in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor MSCI Semiconductors and Amundi ETF 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 ETF Govies are associated (or correlated) with Lyxor MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor MSCI Semiconductors has no effect on the direction of Amundi ETF i.e., Amundi ETF and Lyxor MSCI go up and down completely randomly.
Pair Corralation between Amundi ETF and Lyxor MSCI
Assuming the 90 days trading horizon Amundi ETF is expected to generate 13.91 times less return on investment than Lyxor MSCI. But when comparing it to its historical volatility, Amundi ETF Govies is 44.49 times less risky than Lyxor MSCI. It trades about 0.23 of its potential returns per unit of risk. Lyxor MSCI Semiconductors is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 4,481 in Lyxor MSCI Semiconductors on November 2, 2024 and sell it today you would earn a total of 675.00 from holding Lyxor MSCI Semiconductors or generate 15.06% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.06% |
| Values | Daily Returns |
Amundi ETF Govies vs. Lyxor MSCI Semiconductors
Performance |
| Timeline |
| Amundi ETF Govies |
| Lyxor MSCI Semiconductors |
Amundi ETF and Lyxor MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Amundi ETF and Lyxor MSCI
The main advantage of trading using opposite Amundi ETF and Lyxor MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amundi ETF position performs unexpectedly, Lyxor 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 Lyxor MSCI will offset losses from the drop in Lyxor MSCI's long position.The idea behind Amundi ETF Govies and Lyxor MSCI Semiconductors 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.| Lyxor MSCI vs. Lyxor SP 500 | Lyxor MSCI vs. Lyxor UCITS Daily | Lyxor MSCI vs. Lyxor UCITS MSCI | Lyxor MSCI vs. Lyxor Treasury 10Y |
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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..
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