Correlation Between Amundi CAC and Lyxor CAC

Can any of the company-specific risk be diversified away by investing in both Amundi CAC and Lyxor CAC 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 CAC and Lyxor CAC into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Amundi CAC 40 and Lyxor CAC 40, you can compare the effects of market volatilities on Amundi CAC and Lyxor CAC 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 CAC with a short position of Lyxor CAC. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amundi CAC and Lyxor CAC.

Diversification Opportunities for Amundi CAC and Lyxor CAC

1.0

Correlation Coefficient

Amundi CAC  Lyxor CAC

No risk reduction

The 3 months correlation between Amundi and Lyxor is 1.0. Overlapping area represents the amount of risk that can be diversified away by holding Amundi CAC 40 and Lyxor CAC 40 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor CAC 40 and Amundi CAC 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 CAC 40 are associated (or correlated) with Lyxor CAC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor CAC 40 has no effect on the direction of Amundi CAC i.e., Amundi CAC and Lyxor CAC go up and down completely randomly.

Pair Corralation between Amundi CAC and Lyxor CAC

Assuming the 90 days trading horizon Amundi CAC is expected to generate 1.0 times less return on investment than Lyxor CAC. But when comparing it to its historical volatility, Amundi CAC 40 is 1.02 times less risky than Lyxor CAC. It trades about 0.15 of its potential returns per unit of risk. Lyxor CAC 40 is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest  3,514  in Lyxor CAC 40 on December 29, 2024 and sell it today you would earn a total of  289.00  from holding Lyxor CAC 40 or generate 8.22% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	100.0%
Values	Daily Returns

Amundi CAC 40  vs.  Lyxor CAC 40

Amundi CAC 40

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Amundi CAC 40 are ranked lower than 11 (%) of all global equities and portfolios over the last 90 days. Despite somewhat fragile fundamental indicators, Amundi CAC may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Lyxor CAC 40

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Lyxor CAC 40 are ranked lower than 11 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak basic indicators, Lyxor CAC may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Pair Trading with Amundi CAC and Lyxor CAC

The main advantage of trading using opposite Amundi CAC and Lyxor CAC positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amundi CAC position performs unexpectedly, Lyxor CAC 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 CAC will offset losses from the drop in Lyxor CAC's long position.

The idea behind Amundi CAC 40 and Lyxor CAC 40 pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.