Correlation Between Amundi CAC and Lyxor Treasury
Can any of the company-specific risk be diversified away by investing in both Amundi CAC and Lyxor Treasury 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 Treasury 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 Treasury 3 7Y, you can compare the effects of market volatilities on Amundi CAC and Lyxor Treasury 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 Treasury. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amundi CAC and Lyxor Treasury.
Diversification Opportunities for Amundi CAC and Lyxor Treasury
-0.73 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Amundi and Lyxor is -0.73. Overlapping area represents the amount of risk that can be diversified away by holding Amundi CAC 40 and Lyxor Treasury 3 7Y in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor Treasury 3 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 Treasury. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor Treasury 3 has no effect on the direction of Amundi CAC i.e., Amundi CAC and Lyxor Treasury go up and down completely randomly.
Pair Corralation between Amundi CAC and Lyxor Treasury
Assuming the 90 days trading horizon Amundi CAC is expected to generate 1.23 times less return on investment than Lyxor Treasury. In addition to that, Amundi CAC is 2.1 times more volatile than Lyxor Treasury 3 7Y. It trades about 0.01 of its total potential returns per unit of risk. Lyxor Treasury 3 7Y is currently generating about 0.04 per unit of volatility. If you would invest 9,809 in Lyxor Treasury 3 7Y on September 2, 2024 and sell it today you would earn a total of 500.00 from holding Lyxor Treasury 3 7Y or generate 5.1% 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 Treasury 3 7Y
Performance |
| Timeline |
| Amundi CAC 40 |
| Lyxor Treasury 3 |
Amundi CAC and Lyxor Treasury Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Amundi CAC and Lyxor Treasury
The main advantage of trading using opposite Amundi CAC and Lyxor Treasury positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amundi CAC position performs unexpectedly, Lyxor Treasury 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 Treasury will offset losses from the drop in Lyxor Treasury's long position.| Amundi CAC vs. Deutsche Telekom AG | Amundi CAC vs. Volkswagen AG | Amundi CAC vs. Deutsche Bank Aktiengesellschaft |
| Lyxor Treasury vs. Lyxor UCITS iBoxx | Lyxor Treasury vs. Lyxor Treasury 10Y | Lyxor Treasury vs. Amundi Stoxx Europe |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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