Correlation Between Amundi German and Lyxor 10Y
Can any of the company-specific risk be diversified away by investing in both Amundi German and Lyxor 10Y 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 German and Lyxor 10Y into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Amundi German Bund and Lyxor 10Y Treasury, you can compare the effects of market volatilities on Amundi German and Lyxor 10Y 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 German with a short position of Lyxor 10Y. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amundi German and Lyxor 10Y.
Diversification Opportunities for Amundi German and Lyxor 10Y
0.64 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Amundi and Lyxor is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding Amundi German Bund and Lyxor 10Y Treasury in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor 10Y Treasury and Amundi German 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 German Bund are associated (or correlated) with Lyxor 10Y. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor 10Y Treasury has no effect on the direction of Amundi German i.e., Amundi German and Lyxor 10Y go up and down completely randomly.
Pair Corralation between Amundi German and Lyxor 10Y
Assuming the 90 days trading horizon Amundi German Bund is expected to under-perform the Lyxor 10Y. But the etf apears to be less risky and, when comparing its historical volatility, Amundi German Bund is 1.59 times less risky than Lyxor 10Y. The etf trades about -0.12 of its potential returns per unit of risk. The Lyxor 10Y Treasury is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest 10,649 in Lyxor 10Y Treasury on September 17, 2024 and sell it today you would earn a total of 9.00 from holding Lyxor 10Y Treasury or generate 0.08% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Amundi German Bund vs. Lyxor 10Y Treasury
Performance |
| Timeline |
| Amundi German Bund |
| Lyxor 10Y Treasury |
Amundi German and Lyxor 10Y Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Amundi German and Lyxor 10Y
The main advantage of trading using opposite Amundi German and Lyxor 10Y positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amundi German position performs unexpectedly, Lyxor 10Y 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 10Y will offset losses from the drop in Lyxor 10Y's long position.| Amundi German vs. Lyxor UCITS Japan | Amundi German vs. Lyxor UCITS Japan | Amundi German vs. Lyxor UCITS Stoxx | Amundi German vs. Amundi CAC 40 |
| Lyxor 10Y vs. Amundi German Bund | Lyxor 10Y vs. Lyxor SP 500 | Lyxor 10Y vs. Lyxor UCITS Daily | Lyxor 10Y vs. Lyxor UCITS Stoxx |
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 Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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