Correlation Between Lyxor CAC and Amundi MSCI
Can any of the company-specific risk be diversified away by investing in both Lyxor CAC and Amundi 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 Lyxor CAC and Amundi MSCI 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 MSCI Europe, you can compare the effects of market volatilities on Lyxor CAC and Amundi 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 Lyxor CAC with a short position of Amundi MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor CAC and Amundi MSCI.
Diversification Opportunities for Lyxor CAC and Amundi MSCI
0.92 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Lyxor and Amundi is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor CAC 40 and Amundi MSCI Europe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi MSCI Europe 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 MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi MSCI Europe has no effect on the direction of Lyxor CAC i.e., Lyxor CAC and Amundi MSCI go up and down completely randomly.
Pair Corralation between Lyxor CAC and Amundi MSCI
Assuming the 90 days trading horizon Lyxor CAC 40 is expected to under-perform the Amundi MSCI. But the etf apears to be less risky and, when comparing its historical volatility, Lyxor CAC 40 is 1.03 times less risky than Amundi MSCI. The etf trades about -0.09 of its potential returns per unit of risk. The Amundi MSCI Europe is currently generating about -0.06 of returns per unit of risk over similar time horizon. If you would invest 19,636 in Amundi MSCI Europe on September 2, 2024 and sell it today you would lose (756.00) from holding Amundi MSCI Europe or give up 3.85% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor CAC 40 vs. Amundi MSCI Europe
Performance |
| Timeline |
| Lyxor CAC 40 |
| Amundi MSCI Europe |
Lyxor CAC and Amundi MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor CAC and Amundi MSCI
The main advantage of trading using opposite Lyxor CAC and Amundi MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor CAC position performs unexpectedly, Amundi 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 Amundi MSCI will offset losses from the drop in Amundi MSCI's long position.| Lyxor CAC vs. Manitou BF SA | Lyxor CAC vs. Granite 3x LVMH | Lyxor CAC vs. 21Shares Polkadot ETP | Lyxor CAC vs. Ekinops SA |
| Amundi MSCI vs. Amundi Index Solutions | Amundi MSCI vs. Amundi Index Solutions | Amundi MSCI vs. Amundi Index Solutions | Amundi MSCI vs. Amundi SP 500 |
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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.
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