Correlation Between Amundi FTSE and SPDR MSCI
Can any of the company-specific risk be diversified away by investing in both Amundi FTSE and SPDR 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 FTSE and SPDR MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Amundi FTSE EPRANAREIT and SPDR MSCI Europe, you can compare the effects of market volatilities on Amundi FTSE and SPDR 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 FTSE with a short position of SPDR MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amundi FTSE and SPDR MSCI.
Diversification Opportunities for Amundi FTSE and SPDR MSCI
-0.27 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Amundi and SPDR is -0.27. Overlapping area represents the amount of risk that can be diversified away by holding Amundi FTSE EPRANAREIT and SPDR MSCI Europe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR MSCI Europe and Amundi FTSE 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 FTSE EPRANAREIT are associated (or correlated) with SPDR MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR MSCI Europe has no effect on the direction of Amundi FTSE i.e., Amundi FTSE and SPDR MSCI go up and down completely randomly.
Pair Corralation between Amundi FTSE and SPDR MSCI
Assuming the 90 days trading horizon Amundi FTSE is expected to generate 1.8 times less return on investment than SPDR MSCI. But when comparing it to its historical volatility, Amundi FTSE EPRANAREIT is 1.32 times less risky than SPDR MSCI. It trades about 0.02 of its potential returns per unit of risk. SPDR MSCI Europe is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest 10,786 in SPDR MSCI Europe on August 27, 2024 and sell it today you would earn a total of 1,960 from holding SPDR MSCI Europe or generate 18.17% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 98.27% |
| Values | Daily Returns |
Amundi FTSE EPRANAREIT vs. SPDR MSCI Europe
Performance |
| Timeline |
| Amundi FTSE EPRANAREIT |
| SPDR MSCI Europe |
Amundi FTSE and SPDR MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Amundi FTSE and SPDR MSCI
The main advantage of trading using opposite Amundi FTSE and SPDR MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amundi FTSE position performs unexpectedly, SPDR 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 SPDR MSCI will offset losses from the drop in SPDR MSCI's long position.| Amundi FTSE vs. Amundi Index Solutions | Amundi FTSE vs. Amundi Index Solutions | Amundi FTSE vs. Amundi Index Solutions | Amundi FTSE vs. Amundi SP 500 |
| SPDR MSCI vs. SPDR MSCI Europe | SPDR MSCI vs. SPDR Barclays Cap | SPDR MSCI vs. SPDR SP 500 | SPDR MSCI vs. SPDR 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 Sectors module to list of equity sectors categorizing publicly traded companies based on their primary business activities.
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