Correlation Between Lyxor UCITS and Amundi ETF

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

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

Diversification Opportunities for Lyxor UCITS and Amundi ETF

0.93

Correlation Coefficient

Lyxor UCITS  Amundi ETF

Almost no diversification

The 3 months correlation between Lyxor and Amundi is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS Dow and Amundi ETF PEA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi ETF PEA and Lyxor UCITS 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 UCITS Dow are associated (or correlated) with Amundi ETF. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi ETF PEA has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and Amundi ETF go up and down completely randomly.

Pair Corralation between Lyxor UCITS and Amundi ETF

Assuming the 90 days trading horizon Lyxor UCITS is expected to generate 1.01 times less return on investment than Amundi ETF. But when comparing it to its historical volatility, Lyxor UCITS Dow is 1.14 times less risky than Amundi ETF. It trades about 0.25 of its potential returns per unit of risk. Amundi ETF PEA is currently generating about 0.22 of returns per unit of risk over similar time horizon. If you would invest  5,176  in Amundi ETF PEA on September 4, 2024 and sell it today you would earn a total of  831.00  from holding Amundi ETF PEA or generate 16.05% return on investment over 90 days.

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

Lyxor UCITS Dow  vs.  Amundi ETF PEA

Lyxor UCITS Dow

Risk-Adjusted Performance

19 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Lyxor UCITS Dow are ranked lower than 19 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak technical and fundamental indicators, Lyxor UCITS sustained solid returns over the last few months and may actually be approaching a breakup point.

Amundi ETF PEA

Risk-Adjusted Performance

17 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Amundi ETF PEA are ranked lower than 17 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak basic indicators, Amundi ETF sustained solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Lyxor UCITS and Amundi ETF

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

The idea behind Lyxor UCITS Dow and Amundi ETF PEA 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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.