Correlation Between Amundi MSCI and Lyxor UCITS
Can any of the company-specific risk be diversified away by investing in both Amundi MSCI and Lyxor UCITS 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 Lyxor UCITS 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 Lyxor UCITS Japan, you can compare the effects of market volatilities on Amundi MSCI and Lyxor UCITS 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 Lyxor UCITS. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amundi MSCI and Lyxor UCITS.
Diversification Opportunities for Amundi MSCI and Lyxor UCITS
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Amundi and Lyxor is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding Amundi MSCI World and Lyxor UCITS Japan in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor UCITS Japan 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 Lyxor UCITS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor UCITS Japan has no effect on the direction of Amundi MSCI i.e., Amundi MSCI and Lyxor UCITS go up and down completely randomly.
Pair Corralation between Amundi MSCI and Lyxor UCITS
Assuming the 90 days trading horizon Amundi MSCI is expected to generate 1.34 times less return on investment than Lyxor UCITS. But when comparing it to its historical volatility, Amundi MSCI World is 1.62 times less risky than Lyxor UCITS. It trades about 0.1 of its potential returns per unit of risk. Lyxor UCITS Japan is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 13,815 in Lyxor UCITS Japan on September 21, 2024 and sell it today you would earn a total of 8,040 from holding Lyxor UCITS Japan or generate 58.2% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.41% |
| Values | Daily Returns |
Amundi MSCI World vs. Lyxor UCITS Japan
Performance |
| Timeline |
| Amundi MSCI World |
| Lyxor UCITS Japan |
Amundi MSCI and Lyxor UCITS Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Amundi MSCI and Lyxor UCITS
The main advantage of trading using opposite Amundi MSCI and Lyxor UCITS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amundi MSCI position performs unexpectedly, Lyxor UCITS 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 UCITS will offset losses from the drop in Lyxor UCITS's long position.| Amundi MSCI vs. Lyxor UCITS Japan | Amundi MSCI vs. Lyxor UCITS Japan | Amundi MSCI vs. Lyxor UCITS Stoxx | Amundi MSCI vs. Gold Bullion Securities |
| Lyxor UCITS vs. Lyxor UCITS Japan | Lyxor UCITS vs. Amundi Index Solutions | Lyxor UCITS vs. Amundi Index Solutions | Lyxor UCITS 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 Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.
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