Correlation Between Amundi MSCI and Amundi Index
Can any of the company-specific risk be diversified away by investing in both Amundi MSCI and Amundi Index 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 MSCI and Amundi Index into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Amundi MSCI World and Amundi Index Solutions, you can compare the effects of market volatilities on Amundi MSCI and Amundi Index 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 MSCI with a short position of Amundi Index. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amundi MSCI and Amundi Index.
Diversification Opportunities for Amundi MSCI and Amundi Index
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Amundi and Amundi is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding Amundi MSCI World and Amundi Index Solutions in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi Index Solutions and Amundi 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 Amundi MSCI World are associated (or correlated) with Amundi Index. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi Index Solutions has no effect on the direction of Amundi MSCI i.e., Amundi MSCI and Amundi Index go up and down completely randomly.
Pair Corralation between Amundi MSCI and Amundi Index
Assuming the 90 days trading horizon Amundi MSCI is expected to generate 2.6 times less return on investment than Amundi Index. In addition to that, Amundi MSCI is 1.26 times more volatile than Amundi Index Solutions. It trades about 0.17 of its total potential returns per unit of risk. Amundi Index Solutions is currently generating about 0.55 per unit of volatility. If you would invest 19,532 in Amundi Index Solutions on September 13, 2024 and sell it today you would earn a total of 2,011 from holding Amundi Index Solutions or generate 10.3% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Amundi MSCI World vs. Amundi Index Solutions
Performance |
| Timeline |
| Amundi MSCI World |
| Amundi Index Solutions |
Amundi MSCI and Amundi Index Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Amundi MSCI and Amundi Index
The main advantage of trading using opposite Amundi MSCI and Amundi Index positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amundi MSCI position performs unexpectedly, Amundi Index 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 Index will offset losses from the drop in Amundi Index's long position.| Amundi MSCI vs. Lyxor UCITS Japan | Amundi MSCI vs. Lyxor UCITS Japan | Amundi MSCI vs. Lyxor UCITS Stoxx | Amundi MSCI vs. Amundi CAC 40 |
| Amundi Index vs. Lyxor UCITS Japan | Amundi Index vs. Lyxor UCITS Japan | Amundi Index vs. Lyxor UCITS Stoxx | Amundi Index vs. Amundi CAC 40 |
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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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