Correlation Between Amundi Stoxx and Lyxor MSCI
Can any of the company-specific risk be diversified away by investing in both Amundi Stoxx 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 Stoxx 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 Stoxx Europe and Lyxor MSCI China, you can compare the effects of market volatilities on Amundi Stoxx 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 Stoxx with a short position of Lyxor MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amundi Stoxx and Lyxor MSCI.
Diversification Opportunities for Amundi Stoxx and Lyxor MSCI
-0.03 | Correlation Coefficient |
Good diversification
The 3 months correlation between Amundi and Lyxor is -0.03. Overlapping area represents the amount of risk that can be diversified away by holding Amundi Stoxx Europe and Lyxor MSCI China in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor MSCI China and Amundi Stoxx 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 Stoxx Europe 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 China has no effect on the direction of Amundi Stoxx i.e., Amundi Stoxx and Lyxor MSCI go up and down completely randomly.
Pair Corralation between Amundi Stoxx and Lyxor MSCI
Assuming the 90 days trading horizon Amundi Stoxx Europe is expected to generate 0.46 times more return on investment than Lyxor MSCI. However, Amundi Stoxx Europe is 2.18 times less risky than Lyxor MSCI. It trades about -0.03 of its potential returns per unit of risk. Lyxor MSCI China is currently generating about -0.05 per unit of risk. If you would invest 11,642 in Amundi Stoxx Europe on September 2, 2024 and sell it today you would lose (70.00) from holding Amundi Stoxx Europe or give up 0.6% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Amundi Stoxx Europe vs. Lyxor MSCI China
Performance |
| Timeline |
| Amundi Stoxx Europe |
| Lyxor MSCI China |
Amundi Stoxx and Lyxor MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Amundi Stoxx and Lyxor MSCI
The main advantage of trading using opposite Amundi Stoxx and Lyxor MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amundi Stoxx 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.| Amundi Stoxx vs. Amundi Index Solutions | Amundi Stoxx vs. Amundi Index Solutions | Amundi Stoxx vs. Amundi Index Solutions | Amundi Stoxx vs. Amundi Index Solutions |
| Lyxor MSCI vs. Manitou BF SA | Lyxor MSCI vs. Ossiam Minimum Variance | Lyxor MSCI vs. Granite 3x LVMH | Lyxor MSCI vs. 21Shares Polkadot ETP |
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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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