Correlation Between Amundi ETF and Lyxor CAC

Can any of the company-specific risk be diversified away by investing in both Amundi ETF and Lyxor CAC 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 ETF and Lyxor CAC into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Amundi ETF PEA and Lyxor CAC 40, you can compare the effects of market volatilities on Amundi ETF and Lyxor CAC 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 ETF with a short position of Lyxor CAC. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amundi ETF and Lyxor CAC.

Diversification Opportunities for Amundi ETF and Lyxor CAC

0.46

Correlation Coefficient

Amundi ETF  Lyxor CAC

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 ETF PEA and Lyxor CAC 40 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor CAC 40 and Amundi ETF 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 ETF PEA are associated (or correlated) with Lyxor CAC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor CAC 40 has no effect on the direction of Amundi ETF i.e., Amundi ETF and Lyxor CAC go up and down completely randomly.

Pair Corralation between Amundi ETF and Lyxor CAC

Assuming the 90 days trading horizon Amundi ETF is expected to generate 4.84 times less return on investment than Lyxor CAC. But when comparing it to its historical volatility, Amundi ETF PEA is 1.0 times less risky than Lyxor CAC. It trades about 0.05 of its potential returns per unit of risk. Lyxor CAC 40 is currently generating about 0.25 of returns per unit of risk over similar time horizon. If you would invest  3,481  in Lyxor CAC 40 on October 25, 2024 and sell it today you would earn a total of  286.00  from holding Lyxor CAC 40 or generate 8.22% return on investment over 90 days.

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

Amundi ETF PEA  vs.  Lyxor CAC 40

Amundi ETF PEA

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Amundi ETF PEA has generated negative risk-adjusted returns adding no value to investors with long positions. Even with relatively invariable basic indicators, Amundi ETF is not utilizing all of its potentials. The current stock price agitation, may contribute to short-term losses for the retail investors.

Lyxor CAC 40

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Lyxor CAC 40 are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong basic indicators, Lyxor CAC 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 ETF and Lyxor CAC

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

The idea behind Amundi ETF PEA and Lyxor CAC 40 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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.