Correlation Between SP 500 and Amundi MSCI

Can any of the company-specific risk be diversified away by investing in both SP 500 and Amundi MSCI 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 SP 500 and Amundi MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between SP 500 VIX and Amundi MSCI USA, you can compare the effects of market volatilities on SP 500 and Amundi MSCI 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 SP 500 with a short position of Amundi MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of SP 500 and Amundi MSCI.

Diversification Opportunities for SP 500 and Amundi MSCI

-0.74

Correlation Coefficient

SP 500  Amundi MSCI

Pay attention - limited upside

The 3 months correlation between VILX and Amundi is -0.74. Overlapping area represents the amount of risk that can be diversified away by holding SP 500 VIX and Amundi MSCI USA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi MSCI USA and SP 500 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 SP 500 VIX are associated (or correlated) with Amundi MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi MSCI USA has no effect on the direction of SP 500 i.e., SP 500 and Amundi MSCI go up and down completely randomly.

Pair Corralation between SP 500 and Amundi MSCI

Assuming the 90 days trading horizon SP 500 VIX is expected to generate 8.91 times more return on investment than Amundi MSCI. However, SP 500 is 8.91 times more volatile than Amundi MSCI USA. It trades about 0.05 of its potential returns per unit of risk. Amundi MSCI USA is currently generating about -0.08 per unit of risk. If you would invest  168,820  in SP 500 VIX on December 30, 2024 and sell it today you would earn a total of  5,873  from holding SP 500 VIX or generate 3.48% return on investment over 90 days.

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

SP 500 VIX  vs.  Amundi MSCI USA

SP 500 VIX

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in SP 500 VIX are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively uncertain basic indicators, SP 500 unveiled solid returns over the last few months and may actually be approaching a breakup point.

Amundi MSCI USA

Risk-Adjusted Performance

Very Weak

Over the last 90 days Amundi MSCI USA has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable basic indicators, Amundi MSCI is not utilizing all of its potentials. The newest stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with SP 500 and Amundi MSCI

The main advantage of trading using opposite SP 500 and Amundi MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SP 500 position performs unexpectedly, Amundi MSCI 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 MSCI will offset losses from the drop in Amundi MSCI's long position.

The idea behind SP 500 VIX and Amundi MSCI USA 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 Bollinger Bands module to use Bollinger Bands indicator to analyze target price for a given investing horizon.