Correlation Between Lyxor MSCI and SPDR MSCI
Can any of the company-specific risk be diversified away by investing in both Lyxor MSCI and SPDR 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 MSCI and SPDR MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor MSCI China and SPDR MSCI Europe, you can compare the effects of market volatilities on Lyxor MSCI and SPDR 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 MSCI with a short position of SPDR MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor MSCI and SPDR MSCI.
Diversification Opportunities for Lyxor MSCI and SPDR MSCI
0.14 | Correlation Coefficient |
Average diversification
The 3 months correlation between Lyxor and SPDR is 0.14. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor MSCI China and SPDR MSCI Europe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR MSCI Europe and Lyxor 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 Lyxor MSCI China are associated (or correlated) with SPDR MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR MSCI Europe has no effect on the direction of Lyxor MSCI i.e., Lyxor MSCI and SPDR MSCI go up and down completely randomly.
Pair Corralation between Lyxor MSCI and SPDR MSCI
Assuming the 90 days trading horizon Lyxor MSCI China is expected to generate 2.88 times more return on investment than SPDR MSCI. However, Lyxor MSCI is 2.88 times more volatile than SPDR MSCI Europe. It trades about 0.12 of its potential returns per unit of risk. SPDR MSCI Europe is currently generating about -0.05 per unit of risk. If you would invest 7,400 in Lyxor MSCI China on September 2, 2024 and sell it today you would earn a total of 1,233 from holding Lyxor MSCI China or generate 16.66% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor MSCI China vs. SPDR MSCI Europe
Performance |
| Timeline |
| Lyxor MSCI China |
| SPDR MSCI Europe |
Lyxor MSCI and SPDR MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor MSCI and SPDR MSCI
The main advantage of trading using opposite Lyxor MSCI and SPDR MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor MSCI position performs unexpectedly, SPDR 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 SPDR MSCI will offset losses from the drop in SPDR MSCI's long position.| Lyxor MSCI vs. Manitou BF SA | Lyxor MSCI vs. Granite 3x LVMH | Lyxor MSCI vs. 21Shares Polkadot ETP | Lyxor MSCI vs. Ekinops SA |
| SPDR MSCI vs. SPDR MSCI Europe | SPDR MSCI vs. SPDR Barclays Cap | SPDR MSCI vs. SPDR SP 500 | SPDR MSCI vs. SPDR MSCI Europe |
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 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.
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