Correlation Between Lyxor UCITS and Amundi SP
Can any of the company-specific risk be diversified away by investing in both Lyxor UCITS 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 Lyxor UCITS and Amundi SP 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 SP 500, you can compare the effects of market volatilities on Lyxor UCITS 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 Lyxor UCITS with a short position of Amundi SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor UCITS and Amundi SP.
Diversification Opportunities for Lyxor UCITS and Amundi SP
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Lyxor and Amundi is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS Japan 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 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 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 Lyxor UCITS i.e., Lyxor UCITS and Amundi SP go up and down completely randomly.
Pair Corralation between Lyxor UCITS and Amundi SP
Assuming the 90 days trading horizon Lyxor UCITS is expected to generate 5.66 times less return on investment than Amundi SP. In addition to that, Lyxor UCITS is 1.73 times more volatile than Amundi SP 500. It trades about 0.01 of its total potential returns per unit of risk. Amundi SP 500 is currently generating about 0.14 per unit of volatility. If you would invest 13,316 in Amundi SP 500 on September 1, 2024 and sell it today you would earn a total of 3,167 from holding Amundi SP 500 or generate 23.78% 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 SP 500
Performance |
| Timeline |
| Lyxor UCITS Japan |
| Amundi SP 500 |
Lyxor UCITS and Amundi SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor UCITS and Amundi SP
The main advantage of trading using opposite Lyxor UCITS and Amundi SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS 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.| Lyxor UCITS vs. Lyxor UCITS Japan | Lyxor UCITS vs. Amundi Index Solutions | Lyxor UCITS vs. Amundi Index Solutions | Lyxor UCITS vs. Amundi Index Solutions |
| Amundi SP vs. Amundi Index Solutions | Amundi SP vs. Amundi Index Solutions | Amundi SP vs. Amundi Index Solutions | Amundi SP vs. Amundi SP 500 |
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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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