Correlation Between Granite 3x and Lyxor FTSE
Can any of the company-specific risk be diversified away by investing in both Granite 3x and Lyxor FTSE 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 Granite 3x and Lyxor FTSE into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Granite 3x LVMH and Lyxor FTSE MIB, you can compare the effects of market volatilities on Granite 3x and Lyxor FTSE 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 Granite 3x with a short position of Lyxor FTSE. Check out your portfolio center. Please also check ongoing floating volatility patterns of Granite 3x and Lyxor FTSE.
Diversification Opportunities for Granite 3x and Lyxor FTSE
-0.09 | Correlation Coefficient |
Good diversification
The 3 months correlation between Granite and Lyxor is -0.09. Overlapping area represents the amount of risk that can be diversified away by holding Granite 3x LVMH and Lyxor FTSE MIB in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor FTSE MIB and Granite 3x 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 Granite 3x LVMH are associated (or correlated) with Lyxor FTSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor FTSE MIB has no effect on the direction of Granite 3x i.e., Granite 3x and Lyxor FTSE go up and down completely randomly.
Pair Corralation between Granite 3x and Lyxor FTSE
Assuming the 90 days trading horizon Granite 3x LVMH is expected to under-perform the Lyxor FTSE. In addition to that, Granite 3x is 6.5 times more volatile than Lyxor FTSE MIB. It trades about -0.1 of its total potential returns per unit of risk. Lyxor FTSE MIB is currently generating about -0.01 per unit of volatility. If you would invest 3,492 in Lyxor FTSE MIB on September 1, 2024 and sell it today you would lose (64.00) from holding Lyxor FTSE MIB or give up 1.83% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 80.92% |
| Values | Daily Returns |
Granite 3x LVMH vs. Lyxor FTSE MIB
Performance |
| Timeline |
| Granite 3x LVMH |
| Lyxor FTSE MIB |
Granite 3x and Lyxor FTSE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Granite 3x and Lyxor FTSE
The main advantage of trading using opposite Granite 3x and Lyxor FTSE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Granite 3x position performs unexpectedly, Lyxor FTSE 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 Lyxor FTSE will offset losses from the drop in Lyxor FTSE's long position.The idea behind Granite 3x LVMH and Lyxor FTSE MIB 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.| Lyxor FTSE vs. Lyxor MSCI China | Lyxor FTSE vs. Manitou BF SA | Lyxor FTSE vs. Ossiam Minimum Variance | Lyxor FTSE vs. Granite 3x LVMH |
Check out your portfolio center.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 Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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