Correlation Between Amundi Treasury and Lyxor MSCI
Can any of the company-specific risk be diversified away by investing in both Amundi Treasury and Lyxor MSCI 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 Treasury and Lyxor MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Amundi Treasury Bond and Lyxor MSCI World, you can compare the effects of market volatilities on Amundi Treasury and Lyxor MSCI 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 Treasury with a short position of Lyxor MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amundi Treasury and Lyxor MSCI.
Diversification Opportunities for Amundi Treasury and Lyxor MSCI
-0.83 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Amundi and Lyxor is -0.83. Overlapping area represents the amount of risk that can be diversified away by holding Amundi Treasury Bond and Lyxor MSCI World in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor MSCI World and Amundi Treasury 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 Treasury Bond are associated (or correlated) with Lyxor MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor MSCI World has no effect on the direction of Amundi Treasury i.e., Amundi Treasury and Lyxor MSCI go up and down completely randomly.
Pair Corralation between Amundi Treasury and Lyxor MSCI
Assuming the 90 days trading horizon Amundi Treasury Bond is expected to under-perform the Lyxor MSCI. But the etf apears to be less risky and, when comparing its historical volatility, Amundi Treasury Bond is 1.56 times less risky than Lyxor MSCI. The etf trades about -0.04 of its potential returns per unit of risk. The Lyxor MSCI World is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 85,507 in Lyxor MSCI World on August 31, 2024 and sell it today you would earn a total of 4,344 from holding Lyxor MSCI World or generate 5.08% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Amundi Treasury Bond vs. Lyxor MSCI World
Performance |
| Timeline |
| Amundi Treasury Bond |
| Lyxor MSCI World |
Amundi Treasury and Lyxor MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Amundi Treasury and Lyxor MSCI
The main advantage of trading using opposite Amundi Treasury and Lyxor MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amundi Treasury position performs unexpectedly, Lyxor MSCI 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 Lyxor MSCI will offset losses from the drop in Lyxor MSCI's long position.| Amundi Treasury vs. Amundi EUR High | Amundi Treasury vs. Amundi Index Solutions | Amundi Treasury vs. Amundi MSCI Pacific | Amundi Treasury vs. Amundi MSCI Europe |
| Lyxor MSCI vs. Lyxor Smart Overnight | Lyxor MSCI vs. Lyxor UCITS EuroMTS | Lyxor MSCI vs. Lyxor Core UK | Lyxor MSCI vs. Lyxor Core Global |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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