Correlation Between Lyxor PEA and Amundi Index

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

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

Diversification Opportunities for Lyxor PEA and Amundi Index

0.92

Correlation Coefficient

Lyxor PEA  Amundi Index

Almost no diversification

The 3 months correlation between Lyxor and Amundi is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor PEA SP and Amundi Index Solutions in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi Index Solutions and Lyxor PEA 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 Lyxor PEA SP are associated (or correlated) with Amundi Index. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi Index Solutions has no effect on the direction of Lyxor PEA i.e., Lyxor PEA and Amundi Index go up and down completely randomly.

Pair Corralation between Lyxor PEA and Amundi Index

Assuming the 90 days trading horizon Lyxor PEA SP is expected to under-perform the Amundi Index. In addition to that, Lyxor PEA is 1.12 times more volatile than Amundi Index Solutions. It trades about -0.03 of its total potential returns per unit of risk. Amundi Index Solutions is currently generating about 0.0 per unit of volatility. If you would invest  3,468  in Amundi Index Solutions on December 1, 2024 and sell it today you would lose (11.00) from holding Amundi Index Solutions or give up 0.32% of portfolio value over 90 days.

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

Lyxor PEA SP  vs.  Amundi Index Solutions

Lyxor PEA SP

Risk-Adjusted Performance

Very Weak

Over the last 90 days Lyxor PEA SP has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, Lyxor PEA is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Amundi Index Solutions

Risk-Adjusted Performance

Very Weak

Over the last 90 days Amundi Index Solutions has generated negative risk-adjusted returns adding no value to investors with long positions. 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.

Pair Trading with Lyxor PEA and Amundi Index

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

The idea behind Lyxor PEA SP and Amundi Index Solutions 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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.