Correlation Between Amundi MSCI and Amundi Treasury

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

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

Diversification Opportunities for Amundi MSCI and Amundi Treasury

0.49

Correlation Coefficient

Amundi MSCI  Amundi Treasury

Very weak diversification

The 3 months correlation between Amundi and Amundi is 0.49. Overlapping area represents the amount of risk that can be diversified away by holding Amundi MSCI Pacific and Amundi Treasury Bond in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi Treasury Bond 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 Pacific are associated (or correlated) with Amundi Treasury. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi Treasury Bond has no effect on the direction of Amundi MSCI i.e., Amundi MSCI and Amundi Treasury go up and down completely randomly.

Pair Corralation between Amundi MSCI and Amundi Treasury

Assuming the 90 days trading horizon Amundi MSCI Pacific is expected to generate 1.24 times more return on investment than Amundi Treasury. However, Amundi MSCI is 1.24 times more volatile than Amundi Treasury Bond. It trades about -0.03 of its potential returns per unit of risk. Amundi Treasury Bond is currently generating about -0.12 per unit of risk. If you would invest  68,522  in Amundi MSCI Pacific on September 12, 2024 and sell it today you would lose (1,480) from holding Amundi MSCI Pacific or give up 2.16% of portfolio value over 90 days.

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

Amundi MSCI Pacific  vs.  Amundi Treasury Bond

Amundi MSCI Pacific

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Amundi MSCI Pacific 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.

Amundi Treasury Bond

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Amundi Treasury Bond has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable basic indicators, Amundi Treasury 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 Amundi MSCI and Amundi Treasury

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

The idea behind Amundi MSCI Pacific and Amundi Treasury Bond 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.