Correlation Between Lyxor MSCI and Amundi FTSE
Can any of the company-specific risk be diversified away by investing in both Lyxor MSCI and Amundi FTSE 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 MSCI and Amundi FTSE into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor MSCI Semiconductors and Amundi FTSE EPRANAREIT, you can compare the effects of market volatilities on Lyxor MSCI and Amundi FTSE 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 MSCI with a short position of Amundi FTSE. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor MSCI and Amundi FTSE.
Diversification Opportunities for Lyxor MSCI and Amundi FTSE
-0.6 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Lyxor and Amundi is -0.6. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor MSCI Semiconductors and Amundi FTSE EPRANAREIT in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi FTSE EPRANAREIT and Lyxor 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 Lyxor MSCI Semiconductors are associated (or correlated) with Amundi FTSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi FTSE EPRANAREIT has no effect on the direction of Lyxor MSCI i.e., Lyxor MSCI and Amundi FTSE go up and down completely randomly.
Pair Corralation between Lyxor MSCI and Amundi FTSE
Assuming the 90 days trading horizon Lyxor MSCI Semiconductors is expected to generate 2.08 times more return on investment than Amundi FTSE. However, Lyxor MSCI is 2.08 times more volatile than Amundi FTSE EPRANAREIT. It trades about 0.21 of its potential returns per unit of risk. Amundi FTSE EPRANAREIT is currently generating about 0.18 per unit of risk. If you would invest 5,254 in Lyxor MSCI Semiconductors on October 20, 2024 and sell it today you would earn a total of 429.00 from holding Lyxor MSCI Semiconductors or generate 8.17% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor MSCI Semiconductors vs. Amundi FTSE EPRANAREIT
Performance |
| Timeline |
| Lyxor MSCI Semiconductors |
| Amundi FTSE EPRANAREIT |
Lyxor MSCI and Amundi FTSE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor MSCI and Amundi FTSE
The main advantage of trading using opposite Lyxor MSCI and Amundi FTSE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor MSCI position performs unexpectedly, Amundi FTSE 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 FTSE will offset losses from the drop in Amundi FTSE's long position.| Lyxor MSCI vs. Lyxor UCITS Japan | Lyxor MSCI vs. Lyxor UCITS Japan | Lyxor MSCI vs. Lyxor UCITS Stoxx | Lyxor MSCI vs. Amundi CAC 40 |
| Amundi FTSE vs. Lyxor UCITS Japan | Amundi FTSE vs. Lyxor UCITS Japan | Amundi FTSE vs. Lyxor UCITS Stoxx | Amundi FTSE vs. Amundi CAC 40 |
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 Companies Directory module to evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals.
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