Correlation Between Amundi MSCI and Lyxor CAC
Can any of the company-specific risk be diversified away by investing in both Amundi MSCI and Lyxor CAC 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 MSCI and Lyxor CAC into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Amundi MSCI Europe and Lyxor CAC 40, you can compare the effects of market volatilities on Amundi MSCI and Lyxor CAC 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 MSCI with a short position of Lyxor CAC. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amundi MSCI and Lyxor CAC.
Diversification Opportunities for Amundi MSCI and Lyxor CAC
0.58 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Amundi and Lyxor is 0.58. Overlapping area represents the amount of risk that can be diversified away by holding Amundi MSCI Europe and Lyxor CAC 40 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor CAC 40 and Amundi MSCI 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 MSCI Europe are associated (or correlated) with Lyxor CAC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor CAC 40 has no effect on the direction of Amundi MSCI i.e., Amundi MSCI and Lyxor CAC go up and down completely randomly.
Pair Corralation between Amundi MSCI and Lyxor CAC
Assuming the 90 days trading horizon Amundi MSCI is expected to generate 1.83 times less return on investment than Lyxor CAC. But when comparing it to its historical volatility, Amundi MSCI Europe is 1.7 times less risky than Lyxor CAC. It trades about 0.34 of its potential returns per unit of risk. Lyxor CAC 40 is currently generating about 0.36 of returns per unit of risk over similar time horizon. If you would invest 3,498 in Lyxor CAC 40 on October 24, 2024 and sell it today you would earn a total of 232.00 from holding Lyxor CAC 40 or generate 6.63% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Amundi MSCI Europe vs. Lyxor CAC 40
Performance |
| Timeline |
| Amundi MSCI Europe |
| Lyxor CAC 40 |
Amundi MSCI and Lyxor CAC Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Amundi MSCI and Lyxor CAC
The main advantage of trading using opposite Amundi MSCI and Lyxor CAC positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amundi MSCI position performs unexpectedly, Lyxor CAC 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 CAC will offset losses from the drop in Lyxor CAC's long position.| Amundi MSCI vs. Amundi ETF MSCI | Amundi MSCI vs. Lyxor UCITS Stoxx | Amundi MSCI vs. Amundi Index Solutions | Amundi MSCI vs. Amundi MSCI Europe |
| Lyxor CAC vs. Amundi Index Solutions | Lyxor CAC vs. Amundi ETF PEA | Lyxor CAC vs. Amundi ETF PEA | Lyxor CAC vs. Amundi Index Solutions |
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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
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