Correlation Between Lyxor UCITS and Amundi MSCI

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

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

Diversification Opportunities for Lyxor UCITS and Amundi MSCI

0.57

Correlation Coefficient

Lyxor UCITS  Amundi MSCI

Very weak diversification

The 3 months correlation between Lyxor and Amundi is 0.57. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS Japan and Amundi MSCI World in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi MSCI World 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 Japan 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 World has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and Amundi MSCI go up and down completely randomly.

Pair Corralation between Lyxor UCITS and Amundi MSCI

Assuming the 90 days trading horizon Lyxor UCITS is expected to generate 2.51 times less return on investment than Amundi MSCI. But when comparing it to its historical volatility, Lyxor UCITS Japan is 1.26 times less risky than Amundi MSCI. It trades about 0.06 of its potential returns per unit of risk. Amundi MSCI World is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest  42,059  in Amundi MSCI World on September 14, 2024 and sell it today you would earn a total of  46,597  from holding Amundi MSCI World or generate 110.79% return on investment over 90 days.

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

Lyxor UCITS Japan  vs.  Amundi MSCI World

Lyxor UCITS Japan

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Lyxor UCITS Japan are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong basic indicators, Lyxor UCITS is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Amundi MSCI World

Risk-Adjusted Performance

18 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Amundi MSCI World are ranked lower than 18 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak basic indicators, Amundi MSCI sustained solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Lyxor UCITS and Amundi MSCI

The main advantage of trading using opposite Lyxor UCITS and Amundi MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS 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 Lyxor UCITS Japan and Amundi MSCI World 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.