Correlation Between Amundi MSCI and Amundi ETF
Can any of the company-specific risk be diversified away by investing in both Amundi MSCI and Amundi ETF 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 Amundi ETF 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 Amundi ETF MSCI, you can compare the effects of market volatilities on Amundi MSCI and Amundi ETF 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 Amundi ETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amundi MSCI and Amundi ETF.
Diversification Opportunities for Amundi MSCI and Amundi ETF
0.81 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Amundi and Amundi is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding Amundi MSCI Europe and Amundi ETF MSCI in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi ETF MSCI 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 Amundi ETF. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi ETF MSCI has no effect on the direction of Amundi MSCI i.e., Amundi MSCI and Amundi ETF go up and down completely randomly.
Pair Corralation between Amundi MSCI and Amundi ETF
Assuming the 90 days trading horizon Amundi MSCI Europe is expected to under-perform the Amundi ETF. In addition to that, Amundi MSCI is 1.28 times more volatile than Amundi ETF MSCI. It trades about -0.12 of its total potential returns per unit of risk. Amundi ETF MSCI is currently generating about -0.13 per unit of volatility. If you would invest 15,942 in Amundi ETF MSCI on August 28, 2024 and sell it today you would lose (358.00) from holding Amundi ETF MSCI or give up 2.25% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Amundi MSCI Europe vs. Amundi ETF MSCI
Performance |
| Timeline |
| Amundi MSCI Europe |
| Amundi ETF MSCI |
Amundi MSCI and Amundi ETF Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Amundi MSCI and Amundi ETF
The main advantage of trading using opposite Amundi MSCI and Amundi ETF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amundi MSCI position performs unexpectedly, Amundi ETF 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 ETF will offset losses from the drop in Amundi ETF's long position.The idea behind Amundi MSCI Europe and Amundi ETF MSCI pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| Amundi ETF vs. Amundi Index Solutions | Amundi ETF vs. Lyxor UCITS Stoxx | Amundi ETF vs. Amundi MSCI Europe | Amundi ETF vs. Amundi ETF PEA |
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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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