Correlation Between Lyxor UCITS and Amundi ETF
Can any of the company-specific risk be diversified away by investing in both Lyxor UCITS and Amundi ETF 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 UCITS and Amundi ETF into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor UCITS Japan and Amundi ETF PEA, you can compare the effects of market volatilities on Lyxor UCITS and Amundi ETF 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 UCITS with a short position of Amundi ETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor UCITS and Amundi ETF.
Diversification Opportunities for Lyxor UCITS and Amundi ETF
0.16 | Correlation Coefficient |
Average diversification
The 3 months correlation between Lyxor and Amundi is 0.16. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS Japan and Amundi ETF PEA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi ETF PEA and Lyxor UCITS 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 UCITS Japan are associated (or correlated) with Amundi ETF. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi ETF PEA has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and Amundi ETF go up and down completely randomly.
Pair Corralation between Lyxor UCITS and Amundi ETF
Assuming the 90 days trading horizon Lyxor UCITS is expected to generate 2.05 times less return on investment than Amundi ETF. But when comparing it to its historical volatility, Lyxor UCITS Japan is 1.13 times less risky than Amundi ETF. It trades about 0.06 of its potential returns per unit of risk. Amundi ETF PEA is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest 4,250 in Amundi ETF PEA on August 25, 2024 and sell it today you would earn a total of 1,650 from holding Amundi ETF PEA or generate 38.82% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor UCITS Japan vs. Amundi ETF PEA
Performance |
| Timeline |
| Lyxor UCITS Japan |
| Amundi ETF PEA |
Lyxor UCITS and Amundi ETF Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor UCITS and Amundi ETF
The main advantage of trading using opposite Lyxor UCITS and Amundi ETF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS position performs unexpectedly, Amundi ETF 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 ETF will offset losses from the drop in Amundi ETF's long position.| Lyxor UCITS vs. Lyxor MSCI China | Lyxor UCITS vs. Multi Units France | Lyxor UCITS vs. Multi Units Luxembourg | Lyxor UCITS vs. Lyxor MSCI Brazil |
| Amundi ETF vs. Lyxor UCITS Japan | Amundi ETF vs. Lyxor UCITS Japan | Amundi ETF vs. Lyxor UCITS Stoxx | Amundi ETF 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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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