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 World, 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
-0.21 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Amundi and Amundi is -0.21. Overlapping area represents the amount of risk that can be diversified away by holding Amundi Stoxx Europe 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 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 World 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 is expected to generate 3.03 times less return on investment than Amundi MSCI. But when comparing it to its historical volatility, Amundi Stoxx Europe is 1.97 times less risky than Amundi MSCI. It trades about 0.07 of its potential returns per unit of risk. Amundi MSCI World is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 62,633 in Amundi MSCI World on September 12, 2024 and sell it today you would earn a total of 25,403 from holding Amundi MSCI World or generate 40.56% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Amundi Stoxx Europe vs. Amundi MSCI World
Performance |
| Timeline |
| Amundi Stoxx Europe |
| Amundi MSCI World |
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 Global Correlations module to find global opportunities by holding instruments from different markets.
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