Correlation Between SPDR SP and Amundi ETF
Can any of the company-specific risk be diversified away by investing in both SPDR SP 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 SPDR SP and Amundi ETF into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR SP 500 and Amundi ETF PEA, you can compare the effects of market volatilities on SPDR SP 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 SPDR SP with a short position of Amundi ETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR SP and Amundi ETF.
Diversification Opportunities for SPDR SP and Amundi ETF
1.0 | Correlation Coefficient |
No risk reduction
The 3 months correlation between SPDR and Amundi is 1.0. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP 500 and Amundi ETF PEA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi ETF PEA and SPDR SP 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 SPDR SP 500 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 PEA has no effect on the direction of SPDR SP i.e., SPDR SP and Amundi ETF go up and down completely randomly.
Pair Corralation between SPDR SP and Amundi ETF
Assuming the 90 days trading horizon SPDR SP 500 is expected to generate 1.01 times more return on investment than Amundi ETF. However, SPDR SP is 1.01 times more volatile than Amundi ETF PEA. It trades about 0.35 of its potential returns per unit of risk. Amundi ETF PEA is currently generating about 0.34 per unit of risk. If you would invest 52,780 in SPDR SP 500 on September 1, 2024 and sell it today you would earn a total of 4,440 from holding SPDR SP 500 or generate 8.41% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR SP 500 vs. Amundi ETF PEA
Performance |
| Timeline |
| SPDR SP 500 |
| Amundi ETF PEA |
SPDR SP and Amundi ETF Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR SP and Amundi ETF
The main advantage of trading using opposite SPDR SP and Amundi ETF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR SP 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.| SPDR SP vs. SPDR MSCI Europe | SPDR SP vs. SPDR MSCI Europe | SPDR SP vs. SPDR Barclays Cap | SPDR SP vs. SPDR MSCI Europe |
| Amundi ETF vs. Multi Units France | Amundi ETF vs. Lyxor MSCI China | Amundi ETF vs. Lyxor Commodities RefinitivCoreCommodity | Amundi ETF vs. Manitou BF SA |
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 Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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