Correlation Between Lyxor MSCI and SSgA SPDR
Can any of the company-specific risk be diversified away by investing in both Lyxor MSCI and SSgA SPDR 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 SSgA SPDR 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 SSgA SPDR ETFs, you can compare the effects of market volatilities on Lyxor MSCI and SSgA SPDR 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 SSgA SPDR. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor MSCI and SSgA SPDR.
Diversification Opportunities for Lyxor MSCI and SSgA SPDR
0.37 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Lyxor and SSgA is 0.37. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor MSCI China and SSgA SPDR ETFs in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SSgA SPDR ETFs 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 SSgA SPDR. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SSgA SPDR ETFs has no effect on the direction of Lyxor MSCI i.e., Lyxor MSCI and SSgA SPDR go up and down completely randomly.
Pair Corralation between Lyxor MSCI and SSgA SPDR
Assuming the 90 days trading horizon Lyxor MSCI is expected to generate 20.44 times less return on investment than SSgA SPDR. In addition to that, Lyxor MSCI is 1.29 times more volatile than SSgA SPDR ETFs. It trades about 0.0 of its total potential returns per unit of risk. SSgA SPDR ETFs is currently generating about 0.05 per unit of volatility. If you would invest 4,871 in SSgA SPDR ETFs on September 3, 2024 and sell it today you would earn a total of 1,774 from holding SSgA SPDR ETFs or generate 36.42% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor MSCI China vs. SSgA SPDR ETFs
Performance |
| Timeline |
| Lyxor MSCI China |
| SSgA SPDR ETFs |
Lyxor MSCI and SSgA SPDR Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor MSCI and SSgA SPDR
The main advantage of trading using opposite Lyxor MSCI and SSgA SPDR positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor MSCI position performs unexpectedly, SSgA SPDR 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 SSgA SPDR will offset losses from the drop in SSgA SPDR's long position.| Lyxor MSCI vs. Lyxor SP 500 | Lyxor MSCI vs. Lyxor UCITS Daily | Lyxor MSCI vs. Lyxor UCITS MSCI | Lyxor MSCI vs. Lyxor Treasury 10Y |
| SSgA SPDR vs. Amundi Index Solutions | SSgA SPDR vs. Amundi Index Solutions | SSgA SPDR vs. Manitou BF SA | SSgA SPDR vs. Ossiam Minimum Variance |
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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.
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