Correlation Between Amundi MSCI and Lyxor Commodities

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

By analyzing existing cross correlation between Amundi MSCI World and Lyxor Commodities RefinitivCoreCommodity, you can compare the effects of market volatilities on Amundi MSCI and Lyxor Commodities 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 Lyxor Commodities. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amundi MSCI and Lyxor Commodities.

Diversification Opportunities for Amundi MSCI and Lyxor Commodities

0.41

Correlation Coefficient

Amundi MSCI  Lyxor Commodities

Very weak diversification

The 3 months correlation between Amundi and Lyxor is 0.41. Overlapping area represents the amount of risk that can be diversified away by holding Amundi MSCI World and Lyxor Commodities RefinitivCor in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor Commodities 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 World are associated (or correlated) with Lyxor Commodities. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor Commodities has no effect on the direction of Amundi MSCI i.e., Amundi MSCI and Lyxor Commodities go up and down completely randomly.

Pair Corralation between Amundi MSCI and Lyxor Commodities

Assuming the 90 days trading horizon Amundi MSCI World is expected to generate 1.26 times more return on investment than Lyxor Commodities. However, Amundi MSCI is 1.26 times more volatile than Lyxor Commodities RefinitivCoreCommodity. It trades about 0.12 of its potential returns per unit of risk. Lyxor Commodities RefinitivCoreCommodity is currently generating about 0.0 per unit of risk. If you would invest  44,206  in Amundi MSCI World on October 8, 2024 and sell it today you would earn a total of  45,333  from holding Amundi MSCI World or generate 102.55% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	99.8%
Values	Daily Returns

Amundi MSCI World  vs.  Lyxor Commodities RefinitivCor

Amundi MSCI World

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Amundi MSCI World are ranked lower than 13 (%) 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 February 2025.

Lyxor Commodities

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Lyxor Commodities RefinitivCoreCommodity are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong fundamental drivers, Lyxor Commodities 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 Lyxor Commodities

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

The idea behind Amundi MSCI World and Lyxor Commodities RefinitivCoreCommodity 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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.