Correlation Between Amundi MSCI and SPDR MSCI
Can any of the company-specific risk be diversified away by investing in both Amundi MSCI and SPDR 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 Amundi MSCI and SPDR MSCI 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 SPDR MSCI EMU, you can compare the effects of market volatilities on Amundi MSCI and SPDR 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 Amundi MSCI with a short position of SPDR MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amundi MSCI and SPDR MSCI.
Diversification Opportunities for Amundi MSCI and SPDR MSCI
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Amundi and SPDR is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding Amundi MSCI Europe and SPDR MSCI EMU in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR MSCI EMU 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 SPDR MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR MSCI EMU has no effect on the direction of Amundi MSCI i.e., Amundi MSCI and SPDR MSCI go up and down completely randomly.
Pair Corralation between Amundi MSCI and SPDR MSCI
Assuming the 90 days trading horizon Amundi MSCI Europe is expected to generate 2.0 times more return on investment than SPDR MSCI. However, Amundi MSCI is 2.0 times more volatile than SPDR MSCI EMU. It trades about 0.01 of its potential returns per unit of risk. SPDR MSCI EMU is currently generating about 0.02 per unit of risk. If you would invest 31,360 in Amundi MSCI Europe on September 2, 2024 and sell it today you would earn a total of 50.00 from holding Amundi MSCI Europe or generate 0.16% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Amundi MSCI Europe vs. SPDR MSCI EMU
Performance |
| Timeline |
| Amundi MSCI Europe |
| SPDR MSCI EMU |
Amundi MSCI and SPDR MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Amundi MSCI and SPDR MSCI
The main advantage of trading using opposite Amundi MSCI and SPDR MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amundi MSCI position performs unexpectedly, SPDR 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 SPDR MSCI will offset losses from the drop in SPDR MSCI's long position.| Amundi MSCI vs. Lyxor MSCI China | Amundi MSCI vs. Manitou BF SA | Amundi MSCI vs. Granite 3x LVMH | Amundi MSCI vs. 21Shares Polkadot ETP |
| SPDR MSCI vs. Lyxor MSCI China | SPDR MSCI vs. Manitou BF SA | SPDR MSCI vs. Granite 3x LVMH | SPDR MSCI vs. 21Shares Polkadot ETP |
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 Equity Valuation module to check real value of public entities based on technical and fundamental data.
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