Correlation Between Amundi Stoxx and Amundi MSCI
Can any of the company-specific risk be diversified away by investing in both Amundi Stoxx 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 Amundi Stoxx and Amundi MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Amundi Stoxx Europe and Amundi MSCI Europe, you can compare the effects of market volatilities on Amundi Stoxx 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 Amundi Stoxx with a short position of Amundi MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amundi Stoxx and Amundi MSCI.
Diversification Opportunities for Amundi Stoxx and Amundi MSCI
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Amundi and Amundi is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding Amundi Stoxx Europe 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 Amundi Stoxx 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 Stoxx Europe 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 Amundi Stoxx i.e., Amundi Stoxx and Amundi MSCI go up and down completely randomly.
Pair Corralation between Amundi Stoxx and Amundi MSCI
Assuming the 90 days trading horizon Amundi Stoxx Europe is expected to generate 0.83 times more return on investment than Amundi MSCI. However, Amundi Stoxx Europe is 1.2 times less risky than Amundi MSCI. It trades about 0.07 of its potential returns per unit of risk. Amundi MSCI Europe is currently generating about 0.05 per unit of risk. If you would invest 21,588 in Amundi Stoxx Europe on September 12, 2024 and sell it today you would earn a total of 2,604 from holding Amundi Stoxx Europe or generate 12.06% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Amundi Stoxx Europe vs. Amundi MSCI Europe
Performance |
| Timeline |
| Amundi Stoxx Europe |
| Amundi MSCI Europe |
Amundi Stoxx and Amundi MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Amundi Stoxx and Amundi MSCI
The main advantage of trading using opposite Amundi Stoxx and Amundi MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amundi Stoxx 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.| Amundi Stoxx vs. Lyxor UCITS Japan | Amundi Stoxx vs. Lyxor UCITS Japan | Amundi Stoxx vs. Lyxor UCITS Stoxx | Amundi Stoxx vs. Amundi CAC 40 |
| Amundi MSCI vs. Lyxor UCITS Japan | Amundi MSCI vs. Lyxor UCITS Japan | Amundi MSCI vs. Lyxor UCITS Stoxx | Amundi MSCI 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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
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