Correlation Between Amundi MSCI and Amundi ETF

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

Diversification Opportunities for Amundi MSCI and Amundi ETF

0.9

Correlation Coefficient

Amundi MSCI  Amundi ETF

Almost no diversification

The 3 months correlation between Amundi and Amundi is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding Amundi MSCI Europe and Amundi ETF Govies in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi ETF Govies 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 Europe 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 Govies has no effect on the direction of Amundi MSCI i.e., Amundi MSCI and Amundi ETF go up and down completely randomly.

Pair Corralation between Amundi MSCI and Amundi ETF

Assuming the 90 days trading horizon Amundi MSCI Europe is expected to generate 12.55 times more return on investment than Amundi ETF. However, Amundi MSCI is 12.55 times more volatile than Amundi ETF Govies. It trades about 0.27 of its potential returns per unit of risk. Amundi ETF Govies is currently generating about 0.21 per unit of risk. If you would invest  18,286  in Amundi MSCI Europe on December 30, 2024 and sell it today you would earn a total of  1,854  from holding Amundi MSCI Europe or generate 10.14% return on investment over 90 days.

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

Amundi MSCI Europe  vs.  Amundi ETF Govies

Amundi MSCI Europe

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Amundi MSCI Europe are ranked lower than 21 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak basic indicators, Amundi MSCI may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Amundi ETF Govies

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Amundi ETF Govies are ranked lower than 16 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong primary indicators, Amundi ETF is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Amundi MSCI and Amundi ETF

The main advantage of trading using opposite Amundi MSCI and Amundi ETF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amundi MSCI 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 MSCI Europe and Amundi ETF Govies 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 Equity Valuation module to check real value of public entities based on technical and fundamental data.