Correlation Between Amundi CAC and Amundi SP

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

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

Diversification Opportunities for Amundi CAC and Amundi SP

0.47

Correlation Coefficient

Amundi CAC  Amundi SP

Very weak diversification

The 3 months correlation between Amundi and Amundi is 0.47. Overlapping area represents the amount of risk that can be diversified away by holding Amundi CAC 40 and Amundi SP Global in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi SP Global and Amundi CAC 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 CAC 40 are associated (or correlated) with Amundi SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi SP Global has no effect on the direction of Amundi CAC i.e., Amundi CAC and Amundi SP go up and down completely randomly.

Pair Corralation between Amundi CAC and Amundi SP

Assuming the 90 days trading horizon Amundi CAC 40 is expected to under-perform the Amundi SP. But the etf apears to be less risky and, when comparing its historical volatility, Amundi CAC 40 is 1.41 times less risky than Amundi SP. The etf trades about -0.13 of its potential returns per unit of risk. The Amundi SP Global is currently generating about -0.05 of returns per unit of risk over similar time horizon. If you would invest  22,865  in Amundi SP Global on September 27, 2024 and sell it today you would lose (844.00) from holding Amundi SP Global or give up 3.69% of portfolio value over 90 days.

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

Amundi CAC 40  vs.  Amundi SP Global

Amundi CAC 40

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Amundi CAC 40 has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong fundamental indicators, Amundi CAC is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Amundi SP Global

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Amundi SP Global has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, Amundi SP 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 CAC and Amundi SP

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

The idea behind Amundi CAC 40 and Amundi SP Global 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 Sectors module to list of equity sectors categorizing publicly traded companies based on their primary business activities.