Correlation Between Lyxor MSCI and Amundi SP
Can any of the company-specific risk be diversified away by investing in both Lyxor MSCI and Amundi SP 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 MSCI and Amundi SP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor MSCI Brazil and Amundi SP Global, you can compare the effects of market volatilities on Lyxor MSCI and Amundi SP 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 MSCI with a short position of Amundi SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor MSCI and Amundi SP.
Diversification Opportunities for Lyxor MSCI and Amundi SP
-0.57 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Lyxor and Amundi is -0.57. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor MSCI Brazil and Amundi SP Global in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi SP Global and Lyxor MSCI 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 MSCI Brazil are associated (or correlated) with Amundi SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi SP Global has no effect on the direction of Lyxor MSCI i.e., Lyxor MSCI and Amundi SP go up and down completely randomly.
Pair Corralation between Lyxor MSCI and Amundi SP
Assuming the 90 days trading horizon Lyxor MSCI Brazil is expected to under-perform the Amundi SP. In addition to that, Lyxor MSCI is 1.39 times more volatile than Amundi SP Global. It trades about -0.15 of its total potential returns per unit of risk. Amundi SP Global is currently generating about 0.33 per unit of volatility. If you would invest 1,115 in Amundi SP Global on September 5, 2024 and sell it today you would earn a total of 100.00 from holding Amundi SP Global or generate 8.97% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor MSCI Brazil vs. Amundi SP Global
Performance |
| Timeline |
| Lyxor MSCI Brazil |
| Amundi SP Global |
Lyxor MSCI and Amundi SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor MSCI and Amundi SP
The main advantage of trading using opposite Lyxor MSCI and Amundi SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor MSCI position performs unexpectedly, Amundi SP 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 SP will offset losses from the drop in Amundi SP's long position.| Lyxor MSCI vs. Amundi Index Solutions | Lyxor MSCI vs. Manitou BF SA | Lyxor MSCI vs. 21Shares Polkadot ETP | Lyxor MSCI vs. Ekinops SA |
| Amundi SP vs. Amundi Index Solutions | Amundi SP vs. Amundi Index Solutions | Amundi SP vs. Amundi MSCI World | Amundi SP vs. Amundi Index Solutions |
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 Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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