Correlation Between Amundi MSCI and Amundi Stoxx
Can any of the company-specific risk be diversified away by investing in both Amundi MSCI and Amundi Stoxx 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 Stoxx 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 Stoxx Europe, you can compare the effects of market volatilities on Amundi MSCI and Amundi Stoxx 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 Stoxx. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amundi MSCI and Amundi Stoxx.
Diversification Opportunities for Amundi MSCI and Amundi Stoxx
-0.21 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Amundi and Amundi is -0.21. Overlapping area represents the amount of risk that can be diversified away by holding Amundi MSCI World and Amundi Stoxx Europe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi Stoxx Europe 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 Stoxx. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi Stoxx Europe has no effect on the direction of Amundi MSCI i.e., Amundi MSCI and Amundi Stoxx go up and down completely randomly.
Pair Corralation between Amundi MSCI and Amundi Stoxx
Assuming the 90 days trading horizon Amundi MSCI World is expected to generate 1.97 times more return on investment than Amundi Stoxx. However, Amundi MSCI is 1.97 times more volatile than Amundi Stoxx Europe. It trades about 0.11 of its potential returns per unit of risk. Amundi Stoxx Europe is currently generating about 0.07 per unit of risk. If you would invest 62,633 in Amundi MSCI World on September 12, 2024 and sell it today you would earn a total of 25,403 from holding Amundi MSCI World or generate 40.56% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Amundi MSCI World vs. Amundi Stoxx Europe
Performance |
| Timeline |
| Amundi MSCI World |
| Amundi Stoxx Europe |
Amundi MSCI and Amundi Stoxx Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Amundi MSCI and Amundi Stoxx
The main advantage of trading using opposite Amundi MSCI and Amundi Stoxx positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amundi MSCI position performs unexpectedly, Amundi Stoxx 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 Stoxx will offset losses from the drop in Amundi Stoxx'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 Stoxx vs. Lyxor UCITS Japan | Amundi Stoxx vs. Lyxor UCITS Japan | Amundi Stoxx vs. Lyxor UCITS Stoxx | Amundi Stoxx 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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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