Correlation Between Amundi CAC and Lyxor MSCI
Can any of the company-specific risk be diversified away by investing in both Amundi CAC 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 CAC 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 CAC 40 and Lyxor MSCI Brazil, you can compare the effects of market volatilities on Amundi CAC 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 CAC with a short position of Lyxor MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amundi CAC and Lyxor MSCI.
Diversification Opportunities for Amundi CAC and Lyxor MSCI
0.46 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Amundi and Lyxor is 0.46. Overlapping area represents the amount of risk that can be diversified away by holding Amundi CAC 40 and Lyxor MSCI Brazil in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor MSCI Brazil 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 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 Brazil has no effect on the direction of Amundi CAC i.e., Amundi CAC and Lyxor MSCI go up and down completely randomly.
Pair Corralation between Amundi CAC and Lyxor MSCI
Assuming the 90 days trading horizon Amundi CAC 40 is expected to generate 0.59 times more return on investment than Lyxor MSCI. However, Amundi CAC 40 is 1.69 times less risky than Lyxor MSCI. It trades about -0.06 of its potential returns per unit of risk. Lyxor MSCI Brazil is currently generating about -0.1 per unit of risk. If you would invest 7,455 in Amundi CAC 40 on September 13, 2024 and sell it today you would lose (157.00) from holding Amundi CAC 40 or give up 2.11% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Amundi CAC 40 vs. Lyxor MSCI Brazil
Performance |
| Timeline |
| Amundi CAC 40 |
| Lyxor MSCI Brazil |
Amundi CAC and Lyxor MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Amundi CAC and Lyxor MSCI
The main advantage of trading using opposite Amundi CAC and Lyxor MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amundi CAC 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 CAC vs. Lyxor UCITS Japan | Amundi CAC vs. Lyxor UCITS Japan | Amundi CAC vs. Lyxor UCITS Stoxx | Amundi CAC vs. Gold Bullion Securities |
| Lyxor MSCI vs. Lyxor UCITS Japan | Lyxor MSCI vs. Lyxor UCITS Japan | Lyxor MSCI vs. Lyxor UCITS Stoxx | Lyxor 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 Economic Indicators module to top statistical indicators that provide insights into how an economy is performing.
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