Correlation Between Lyxor MSCI and Invesco FTSE
Can any of the company-specific risk be diversified away by investing in both Lyxor MSCI and Invesco 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 Lyxor MSCI and Invesco FTSE 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 Invesco FTSE RAFI, you can compare the effects of market volatilities on Lyxor MSCI and Invesco 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 Lyxor MSCI with a short position of Invesco FTSE. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor MSCI and Invesco FTSE.
Diversification Opportunities for Lyxor MSCI and Invesco FTSE
0.59 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Lyxor and Invesco is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor MSCI China and Invesco FTSE RAFI in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco FTSE RAFI 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 Invesco FTSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco FTSE RAFI has no effect on the direction of Lyxor MSCI i.e., Lyxor MSCI and Invesco FTSE go up and down completely randomly.
Pair Corralation between Lyxor MSCI and Invesco FTSE
Assuming the 90 days trading horizon Lyxor MSCI is expected to generate 11.54 times less return on investment than Invesco FTSE. In addition to that, Lyxor MSCI is 1.18 times more volatile than Invesco FTSE RAFI. It trades about 0.0 of its total potential returns per unit of risk. Invesco FTSE RAFI is currently generating about 0.06 per unit of volatility. If you would invest 2,067 in Invesco FTSE RAFI on September 1, 2024 and sell it today you would earn a total of 709.00 from holding Invesco FTSE RAFI or generate 34.3% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 81.98% |
| Values | Daily Returns |
Lyxor MSCI China vs. Invesco FTSE RAFI
Performance |
| Timeline |
| Lyxor MSCI China |
| Invesco FTSE RAFI |
Lyxor MSCI and Invesco FTSE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor MSCI and Invesco FTSE
The main advantage of trading using opposite Lyxor MSCI and Invesco FTSE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor MSCI position performs unexpectedly, Invesco 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 Invesco FTSE will offset losses from the drop in Invesco FTSE's long position.| Lyxor MSCI vs. Manitou BF SA | Lyxor MSCI vs. Ossiam Minimum Variance | Lyxor MSCI vs. Granite 3x LVMH | Lyxor MSCI vs. 21Shares Polkadot ETP |
| Invesco FTSE vs. Lyxor MSCI China | Invesco FTSE vs. Manitou BF SA | Invesco FTSE vs. Ossiam Minimum Variance | Invesco 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 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.
Other Complementary Tools
| Portfolio Backtesting Avoid under-diversification and over-optimization by backtesting your portfolios | |
| Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas | |
| Portfolio Dashboard Portfolio dashboard that provides centralized access to all your investments | |
| Global Markets Map Get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes | |
| Bonds Directory Find actively traded corporate debentures issued by US companies |