Correlation Between Lyxor UCITS and Amundi MSCI
Can any of the company-specific risk be diversified away by investing in both Lyxor UCITS and Amundi MSCI 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 MSCI 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 MSCI World, you can compare the effects of market volatilities on Lyxor UCITS and Amundi MSCI 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 MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor UCITS and Amundi MSCI.
Diversification Opportunities for Lyxor UCITS and Amundi MSCI
0.66 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Lyxor and Amundi is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS Japan and Amundi MSCI World in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi MSCI World 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 MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi MSCI World has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and Amundi MSCI go up and down completely randomly.
Pair Corralation between Lyxor UCITS and Amundi MSCI
Assuming the 90 days trading horizon Lyxor UCITS is expected to generate 1.37 times less return on investment than Amundi MSCI. In addition to that, Lyxor UCITS is 1.55 times more volatile than Amundi MSCI World. It trades about 0.06 of its total potential returns per unit of risk. Amundi MSCI World is currently generating about 0.12 per unit of volatility. If you would invest 17,372 in Amundi MSCI World on September 19, 2024 and sell it today you would earn a total of 3,958 from holding Amundi MSCI World or generate 22.78% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor UCITS Japan vs. Amundi MSCI World
Performance |
| Timeline |
| Lyxor UCITS Japan |
| Amundi MSCI World |
Lyxor UCITS and Amundi MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor UCITS and Amundi MSCI
The main advantage of trading using opposite Lyxor UCITS and Amundi MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS position performs unexpectedly, Amundi MSCI 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 MSCI will offset losses from the drop in Amundi MSCI'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 MSCI vs. Amundi Index Solutions | Amundi MSCI vs. Amundi Index Solutions | Amundi MSCI vs. Amundi MSCI World | Amundi MSCI vs. Amundi Index Solutions |
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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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