Correlation Between Amundi Index and Lyxor UCITS

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

Diversification Opportunities for Amundi Index and Lyxor UCITS

0.18

Correlation Coefficient

Amundi Index  Lyxor UCITS

Average diversification

The 3 months correlation between Amundi and Lyxor is 0.18. Overlapping area represents the amount of risk that can be diversified away by holding Amundi Index Solutions and Lyxor UCITS Japan in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor UCITS Japan and Amundi Index 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 Index Solutions 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 Japan has no effect on the direction of Amundi Index i.e., Amundi Index and Lyxor UCITS go up and down completely randomly.

Pair Corralation between Amundi Index and Lyxor UCITS

Assuming the 90 days trading horizon Amundi Index is expected to generate 5.61 times less return on investment than Lyxor UCITS. But when comparing it to its historical volatility, Amundi Index Solutions is 1.74 times less risky than Lyxor UCITS. It trades about 0.05 of its potential returns per unit of risk. Lyxor UCITS Japan is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest  20,151  in Lyxor UCITS Japan on September 13, 2024 and sell it today you would earn a total of  2,004  from holding Lyxor UCITS Japan or generate 9.94% return on investment over 90 days.

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

Amundi Index Solutions  vs.  Lyxor UCITS Japan

Amundi Index Solutions

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Amundi Index Solutions are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong basic indicators, Amundi Index is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Lyxor UCITS Japan

Risk-Adjusted Performance

11 of 100

OK

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

Pair Trading with Amundi Index and Lyxor UCITS

The main advantage of trading using opposite Amundi Index and Lyxor UCITS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amundi Index 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 Index Solutions and Lyxor UCITS Japan 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.