Correlation Between Amundi MSCI and Amundi SP
Can any of the company-specific risk be diversified away by investing in both Amundi MSCI and Amundi SP 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 SP 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 SP 500, you can compare the effects of market volatilities on Amundi MSCI and Amundi SP 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 SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amundi MSCI and Amundi SP.
Diversification Opportunities for Amundi MSCI and Amundi SP
-0.41 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Amundi and Amundi is -0.41. Overlapping area represents the amount of risk that can be diversified away by holding Amundi MSCI Europe and Amundi SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi SP 500 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 SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi SP 500 has no effect on the direction of Amundi MSCI i.e., Amundi MSCI and Amundi SP go up and down completely randomly.
Pair Corralation between Amundi MSCI and Amundi SP
Assuming the 90 days trading horizon Amundi MSCI is expected to generate 8.92 times less return on investment than Amundi SP. But when comparing it to its historical volatility, Amundi MSCI Europe is 1.15 times less risky than Amundi SP. It trades about 0.03 of its potential returns per unit of risk. Amundi SP 500 is currently generating about 0.23 of returns per unit of risk over similar time horizon. If you would invest 31,835 in Amundi SP 500 on September 2, 2024 and sell it today you would earn a total of 1,780 from holding Amundi SP 500 or generate 5.59% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Amundi MSCI Europe vs. Amundi SP 500
Performance |
| Timeline |
| Amundi MSCI Europe |
| Amundi SP 500 |
Amundi MSCI and Amundi SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Amundi MSCI and Amundi SP
The main advantage of trading using opposite Amundi MSCI and Amundi SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amundi MSCI position performs unexpectedly, Amundi SP 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 SP will offset losses from the drop in Amundi SP's long position.| Amundi MSCI vs. Amundi Index Solutions | Amundi MSCI vs. Amundi Index Solutions | Amundi MSCI vs. Amundi Index Solutions | Amundi MSCI vs. Amundi SP 500 |
| Amundi SP vs. BNP Paribas Easy | Amundi SP vs. Amundi Index Solutions | Amundi SP vs. BNP Paribas Easy | Amundi SP vs. BNP Paribas Easy |
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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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