Correlation Between Lyxor CAC and Amundi Index
Can any of the company-specific risk be diversified away by investing in both Lyxor CAC and Amundi Index 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 Lyxor CAC and Amundi Index into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor CAC 40 and Amundi Index Solutions, you can compare the effects of market volatilities on Lyxor CAC and Amundi Index 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 Lyxor CAC with a short position of Amundi Index. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor CAC and Amundi Index.
Diversification Opportunities for Lyxor CAC and Amundi Index
-0.37 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Lyxor and Amundi is -0.37. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor CAC 40 and Amundi Index Solutions in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi Index Solutions and Lyxor 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 Lyxor CAC 40 are associated (or correlated) with Amundi Index. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi Index Solutions has no effect on the direction of Lyxor CAC i.e., Lyxor CAC and Amundi Index go up and down completely randomly.
Pair Corralation between Lyxor CAC and Amundi Index
Assuming the 90 days trading horizon Lyxor CAC is expected to generate 8.25 times less return on investment than Amundi Index. But when comparing it to its historical volatility, Lyxor CAC 40 is 1.25 times less risky than Amundi Index. It trades about 0.02 of its potential returns per unit of risk. Amundi Index Solutions is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest 16,346 in Amundi Index Solutions on August 31, 2024 and sell it today you would earn a total of 7,384 from holding Amundi Index Solutions or generate 45.17% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor CAC 40 vs. Amundi Index Solutions
Performance |
| Timeline |
| Lyxor CAC 40 |
| Amundi Index Solutions |
Lyxor CAC and Amundi Index Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor CAC and Amundi Index
The main advantage of trading using opposite Lyxor CAC and Amundi Index positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor CAC position performs unexpectedly, Amundi Index 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 Amundi Index will offset losses from the drop in Amundi Index's long position.| Lyxor CAC vs. Amundi Index Solutions | Lyxor CAC vs. Amundi ETF PEA | Lyxor CAC vs. Amundi ETF PEA | Lyxor CAC vs. Amundi Index Solutions |
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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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.
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