Correlation Between Amundi MSCI and Xtrackers

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

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

Diversification Opportunities for Amundi MSCI and Xtrackers

0.55

Correlation Coefficient

Amundi MSCI  Xtrackers

Very weak diversification

The 3 months correlation between Amundi and Xtrackers is 0.55. Overlapping area represents the amount of risk that can be diversified away by holding Amundi MSCI Europe and Xtrackers II in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Xtrackers II 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 Europe are associated (or correlated) with Xtrackers. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Xtrackers II has no effect on the direction of Amundi MSCI i.e., Amundi MSCI and Xtrackers go up and down completely randomly.

Pair Corralation between Amundi MSCI and Xtrackers

Assuming the 90 days trading horizon Amundi MSCI Europe is expected to generate 0.93 times more return on investment than Xtrackers. However, Amundi MSCI Europe is 1.08 times less risky than Xtrackers. It trades about -0.01 of its potential returns per unit of risk. Xtrackers II is currently generating about -0.07 per unit of risk. If you would invest  8,029  in Amundi MSCI Europe on September 17, 2024 and sell it today you would lose (58.00) from holding Amundi MSCI Europe or give up 0.72% of portfolio value over 90 days.

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

Amundi MSCI Europe  vs.  Xtrackers II

Amundi MSCI Europe

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Amundi MSCI Europe has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of rather sound technical and fundamental indicators, Amundi MSCI is not utilizing all of its potentials. The latest stock price tumult, may contribute to shorter-term losses for the shareholders.

Xtrackers II

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Xtrackers II has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable basic indicators, Xtrackers is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with Amundi MSCI and Xtrackers

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

The idea behind Amundi MSCI Europe and Xtrackers II 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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.