Correlation Between Amundi CAC and Amundi ETF

Can any of the company-specific risk be diversified away by investing in both Amundi CAC and Amundi ETF 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 Amundi ETF 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 Amundi ETF PEA, you can compare the effects of market volatilities on Amundi CAC and Amundi ETF 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 Amundi ETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amundi CAC and Amundi ETF.

Diversification Opportunities for Amundi CAC and Amundi ETF

0.24

Correlation Coefficient

Amundi CAC  Amundi ETF

Modest diversification

The 3 months correlation between Amundi and Amundi is 0.24. Overlapping area represents the amount of risk that can be diversified away by holding Amundi CAC 40 and Amundi ETF PEA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi ETF PEA 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 Amundi ETF. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi ETF PEA has no effect on the direction of Amundi CAC i.e., Amundi CAC and Amundi ETF go up and down completely randomly.

Pair Corralation between Amundi CAC and Amundi ETF

Assuming the 90 days trading horizon Amundi CAC 40 is not expected to generate positive returns. However, Amundi CAC 40 is 1.5 times less risky than Amundi ETF. It waists most of its returns potential to compensate for thr risk taken. Amundi ETF is generating about 0.14 per unit of risk. If you would invest  2,219  in Amundi ETF PEA on September 12, 2024 and sell it today you would earn a total of  271.00  from holding Amundi ETF PEA or generate 12.21% return on investment over 90 days.

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

Amundi CAC 40  vs.  Amundi ETF PEA

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.

Amundi ETF PEA

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Amundi ETF PEA are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. Even with relatively weak basic indicators, Amundi ETF may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Amundi CAC and Amundi ETF

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

The idea behind Amundi CAC 40 and Amundi ETF PEA 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 Valuation module to check real value of public entities based on technical and fundamental data.