Correlation Between Amundi CAC and Lyxor 10Y
Can any of the company-specific risk be diversified away by investing in both Amundi CAC and Lyxor 10Y 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 CAC and Lyxor 10Y into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Amundi CAC 40 and Lyxor 10Y Treasury, you can compare the effects of market volatilities on Amundi CAC and Lyxor 10Y 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 CAC with a short position of Lyxor 10Y. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amundi CAC and Lyxor 10Y.
Diversification Opportunities for Amundi CAC and Lyxor 10Y
-0.76 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Amundi and Lyxor is -0.76. Overlapping area represents the amount of risk that can be diversified away by holding Amundi CAC 40 and Lyxor 10Y Treasury in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor 10Y Treasury and Amundi CAC 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 CAC 40 are associated (or correlated) with Lyxor 10Y. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor 10Y Treasury has no effect on the direction of Amundi CAC i.e., Amundi CAC and Lyxor 10Y go up and down completely randomly.
Pair Corralation between Amundi CAC and Lyxor 10Y
Assuming the 90 days trading horizon Amundi CAC is expected to generate 1.13 times less return on investment than Lyxor 10Y. But when comparing it to its historical volatility, Amundi CAC 40 is 1.31 times less risky than Lyxor 10Y. It trades about 0.05 of its potential returns per unit of risk. Lyxor 10Y Treasury is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 8,803 in Lyxor 10Y Treasury on September 16, 2024 and sell it today you would earn a total of 1,855 from holding Lyxor 10Y Treasury or generate 21.07% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Amundi CAC 40 vs. Lyxor 10Y Treasury
Performance |
| Timeline |
| Amundi CAC 40 |
| Lyxor 10Y Treasury |
Amundi CAC and Lyxor 10Y Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Amundi CAC and Lyxor 10Y
The main advantage of trading using opposite Amundi CAC and Lyxor 10Y positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amundi CAC position performs unexpectedly, Lyxor 10Y 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 10Y will offset losses from the drop in Lyxor 10Y's long position.| Amundi CAC vs. Deutsche Telekom AG | Amundi CAC vs. Volkswagen AG | Amundi CAC vs. Bayerische Motoren Werke | Amundi CAC vs. Mnchener Rck AG |
| Lyxor 10Y vs. Lyxor UCITS Japan | Lyxor 10Y vs. Lyxor UCITS Japan | Lyxor 10Y vs. Lyxor UCITS Stoxx | Lyxor 10Y 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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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