Correlation Between Invesco FTSE and Amundi ETF
Can any of the company-specific risk be diversified away by investing in both Invesco FTSE and Amundi ETF 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 Invesco FTSE and Amundi ETF into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Invesco FTSE RAFI and Amundi ETF MSCI, you can compare the effects of market volatilities on Invesco FTSE and Amundi ETF 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 Invesco FTSE with a short position of Amundi ETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of Invesco FTSE and Amundi ETF.
Diversification Opportunities for Invesco FTSE and Amundi ETF
-0.7 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Invesco and Amundi is -0.7. Overlapping area represents the amount of risk that can be diversified away by holding Invesco FTSE RAFI and Amundi ETF MSCI in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi ETF MSCI and Invesco 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 Invesco FTSE RAFI are associated (or correlated) with Amundi ETF. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi ETF MSCI has no effect on the direction of Invesco FTSE i.e., Invesco FTSE and Amundi ETF go up and down completely randomly.
Pair Corralation between Invesco FTSE and Amundi ETF
Assuming the 90 days trading horizon Invesco FTSE RAFI is expected to generate 1.18 times more return on investment than Amundi ETF. However, Invesco FTSE is 1.18 times more volatile than Amundi ETF MSCI. It trades about 0.21 of its potential returns per unit of risk. Amundi ETF MSCI is currently generating about -0.14 per unit of risk. If you would invest 2,668 in Invesco FTSE RAFI on August 27, 2024 and sell it today you would earn a total of 118.00 from holding Invesco FTSE RAFI or generate 4.42% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Invesco FTSE RAFI vs. Amundi ETF MSCI
Performance |
| Timeline |
| Invesco FTSE RAFI |
| Amundi ETF MSCI |
Invesco FTSE and Amundi ETF Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Invesco FTSE and Amundi ETF
The main advantage of trading using opposite Invesco FTSE and Amundi ETF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Invesco FTSE position performs unexpectedly, Amundi ETF 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 ETF will offset losses from the drop in Amundi ETF's long position.| Invesco FTSE vs. Lyxor UCITS Japan | Invesco FTSE vs. Lyxor UCITS Stoxx | Invesco FTSE vs. Xtrackers MSCI Europe | Invesco FTSE vs. SPDR SP 500 |
| Amundi ETF vs. Lyxor UCITS Japan | Amundi ETF vs. Lyxor UCITS Stoxx | Amundi ETF vs. Xtrackers MSCI Europe | Amundi ETF vs. SPDR SP 500 |
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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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