Correlation Between Amundi CAC and Lyxor UCITS

Can any of the company-specific risk be diversified away by investing in both Amundi CAC 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 CAC 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 CAC 40 and Lyxor UCITS NASDAQ 100, you can compare the effects of market volatilities on Amundi CAC 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 CAC with a short position of Lyxor UCITS. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amundi CAC and Lyxor UCITS.

Diversification Opportunities for Amundi CAC and Lyxor UCITS

-0.56

Correlation Coefficient

Amundi CAC  Lyxor UCITS

Excellent diversification

The 3 months correlation between Amundi and Lyxor is -0.56. Overlapping area represents the amount of risk that can be diversified away by holding Amundi CAC 40 and Lyxor UCITS NASDAQ 100 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor UCITS NASDAQ 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 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 NASDAQ has no effect on the direction of Amundi CAC i.e., Amundi CAC and Lyxor UCITS go up and down completely randomly.

Pair Corralation between Amundi CAC and Lyxor UCITS

Assuming the 90 days trading horizon Amundi CAC 40 is expected to under-perform the Lyxor UCITS. But the etf apears to be less risky and, when comparing its historical volatility, Amundi CAC 40 is 2.02 times less risky than Lyxor UCITS. The etf trades about 0.0 of its potential returns per unit of risk. The Lyxor UCITS NASDAQ 100 is currently generating about 0.22 of returns per unit of risk over similar time horizon. If you would invest  104,680  in Lyxor UCITS NASDAQ 100 on September 13, 2024 and sell it today you would earn a total of  29,940  from holding Lyxor UCITS NASDAQ 100 or generate 28.6% return on investment over 90 days.

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

Amundi CAC 40  vs.  Lyxor UCITS NASDAQ 100

Amundi CAC 40

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Amundi CAC 40 has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong fundamental indicators, Amundi CAC is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Lyxor UCITS NASDAQ

Risk-Adjusted Performance

17 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Lyxor UCITS NASDAQ 100 are ranked lower than 17 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak basic indicators, Lyxor UCITS sustained solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Amundi CAC and Lyxor UCITS

The main advantage of trading using opposite Amundi CAC and Lyxor UCITS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amundi CAC 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.

The idea behind Amundi CAC 40 and Lyxor UCITS NASDAQ 100 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.

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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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.