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 NASDAQ 100 and Amundi MSCI Europe, 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
-0.45 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Lyxor and Amundi is -0.45. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS NASDAQ 100 and Amundi MSCI Europe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi MSCI Europe 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 NASDAQ 100 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 Europe 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 NASDAQ 100 is expected to generate 3.28 times more return on investment than Amundi MSCI. However, Lyxor UCITS is 3.28 times more volatile than Amundi MSCI Europe. It trades about 0.26 of its potential returns per unit of risk. Amundi MSCI Europe is currently generating about 0.1 per unit of risk. If you would invest 110,620 in Lyxor UCITS NASDAQ 100 on September 1, 2024 and sell it today you would earn a total of 13,760 from holding Lyxor UCITS NASDAQ 100 or generate 12.44% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 95.65% |
| Values | Daily Returns |
Lyxor UCITS NASDAQ 100 vs. Amundi MSCI Europe
Performance |
| Timeline |
| Lyxor UCITS NASDAQ |
| Amundi MSCI Europe |
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 UCITS Daily | Lyxor UCITS vs. Amundi ETF Leveraged | Lyxor UCITS vs. Amundi Index Solutions | Lyxor UCITS vs. Lyxor UCITS CAC |
| Amundi MSCI vs. Amundi ETF MSCI | Amundi MSCI vs. Lyxor UCITS Stoxx | Amundi MSCI vs. Amundi Index Solutions | Amundi MSCI vs. Amundi MSCI Europe |
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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
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