Correlation Between Amundi Index and Vanguard FTSE
Can any of the company-specific risk be diversified away by investing in both Amundi Index and Vanguard 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 Amundi Index and Vanguard FTSE into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Amundi Index Solutions and Vanguard FTSE Developed, you can compare the effects of market volatilities on Amundi Index and Vanguard 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 Amundi Index with a short position of Vanguard FTSE. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amundi Index and Vanguard FTSE.
Diversification Opportunities for Amundi Index and Vanguard FTSE
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Amundi and Vanguard is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding Amundi Index Solutions and Vanguard FTSE Developed in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard FTSE Developed and Amundi Index 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 Index Solutions are associated (or correlated) with Vanguard FTSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard FTSE Developed has no effect on the direction of Amundi Index i.e., Amundi Index and Vanguard FTSE go up and down completely randomly.
Pair Corralation between Amundi Index and Vanguard FTSE
Assuming the 90 days trading horizon Amundi Index Solutions is expected to under-perform the Vanguard FTSE. In addition to that, Amundi Index is 3.38 times more volatile than Vanguard FTSE Developed. It trades about -0.21 of its total potential returns per unit of risk. Vanguard FTSE Developed is currently generating about -0.11 per unit of volatility. If you would invest 4,025 in Vanguard FTSE Developed on October 9, 2024 and sell it today you would lose (54.00) from holding Vanguard FTSE Developed or give up 1.34% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Amundi Index Solutions vs. Vanguard FTSE Developed
Performance |
| Timeline |
| Amundi Index Solutions |
| Vanguard FTSE Developed |
Amundi Index and Vanguard FTSE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Amundi Index and Vanguard FTSE
The main advantage of trading using opposite Amundi Index and Vanguard FTSE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amundi Index position performs unexpectedly, Vanguard 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 Vanguard FTSE will offset losses from the drop in Vanguard FTSE's long position.The idea behind Amundi Index Solutions and Vanguard FTSE Developed 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.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 Transaction History module to view history of all your transactions and understand their impact on performance.
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