Correlation Between Amundi CAC and Lyxor MSCI

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

Diversification Opportunities for Amundi CAC and Lyxor MSCI

0.46

Correlation Coefficient

Amundi CAC  Lyxor MSCI

Very weak diversification

The 3 months correlation between Amundi and Lyxor is 0.46. Overlapping area represents the amount of risk that can be diversified away by holding Amundi CAC 40 and Lyxor MSCI Brazil in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor MSCI Brazil 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 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 Brazil has no effect on the direction of Amundi CAC i.e., Amundi CAC and Lyxor MSCI go up and down completely randomly.

Pair Corralation between Amundi CAC and Lyxor MSCI

Assuming the 90 days trading horizon Amundi CAC 40 is expected to generate 0.68 times more return on investment than Lyxor MSCI. However, Amundi CAC 40 is 1.46 times less risky than Lyxor MSCI. It trades about 0.0 of its potential returns per unit of risk. Lyxor MSCI Brazil is currently generating about -0.1 per unit of risk. If you would invest  7,307  in Amundi CAC 40 on September 14, 2024 and sell it today you would lose (7.00) from holding Amundi CAC 40 or give up 0.1% of portfolio value over 90 days.

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

Amundi CAC 40  vs.  Lyxor MSCI Brazil

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 MSCI Brazil

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Lyxor MSCI Brazil has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest weak performance, the Etf's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the ETF investors.

Pair Trading with Amundi CAC and Lyxor MSCI

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

The idea behind Amundi CAC 40 and Lyxor MSCI Brazil 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 Commodity Directory module to find actively traded commodities issued by global exchanges.