Correlation Between Lyxor UCITS and Amundi Stoxx
Can any of the company-specific risk be diversified away by investing in both Lyxor UCITS and Amundi Stoxx 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 Stoxx into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor UCITS Stoxx and Amundi Stoxx Europe, you can compare the effects of market volatilities on Lyxor UCITS and Amundi Stoxx 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 Stoxx. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor UCITS and Amundi Stoxx.
Diversification Opportunities for Lyxor UCITS and Amundi Stoxx
0.85 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Lyxor and Amundi is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS Stoxx and Amundi Stoxx Europe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi Stoxx 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 Stoxx are associated (or correlated) with Amundi Stoxx. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi Stoxx Europe has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and Amundi Stoxx go up and down completely randomly.
Pair Corralation between Lyxor UCITS and Amundi Stoxx
Assuming the 90 days trading horizon Lyxor UCITS Stoxx is expected to generate 1.29 times more return on investment than Amundi Stoxx. However, Lyxor UCITS is 1.29 times more volatile than Amundi Stoxx Europe. It trades about 0.06 of its potential returns per unit of risk. Amundi Stoxx Europe is currently generating about 0.06 per unit of risk. If you would invest 4,072 in Lyxor UCITS Stoxx on September 3, 2024 and sell it today you would earn a total of 1,182 from holding Lyxor UCITS Stoxx or generate 29.03% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor UCITS Stoxx vs. Amundi Stoxx Europe
Performance |
| Timeline |
| Lyxor UCITS Stoxx |
| Amundi Stoxx Europe |
Lyxor UCITS and Amundi Stoxx Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor UCITS and Amundi Stoxx
The main advantage of trading using opposite Lyxor UCITS and Amundi Stoxx positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS position performs unexpectedly, Amundi Stoxx 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 Stoxx will offset losses from the drop in Amundi Stoxx's long position.| Lyxor UCITS vs. Lyxor Index Fund | Lyxor UCITS vs. Multi Units France | Lyxor UCITS vs. Lyxor UCITS MSCI | Lyxor UCITS vs. Multi Units France |
| Amundi Stoxx vs. Amundi Index Solutions | Amundi Stoxx vs. Manitou BF SA | Amundi Stoxx vs. Ossiam Minimum Variance | Amundi Stoxx vs. Granite 3x LVMH |
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 Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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