Correlation Between Lyxor MSCI and BNP Paribas
Can any of the company-specific risk be diversified away by investing in both Lyxor MSCI and BNP Paribas 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 BNP Paribas 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 BNP Paribas Easy, you can compare the effects of market volatilities on Lyxor MSCI and BNP Paribas 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 BNP Paribas. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor MSCI and BNP Paribas.
Diversification Opportunities for Lyxor MSCI and BNP Paribas
0.62 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Lyxor and BNP is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor MSCI China and BNP Paribas Easy in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BNP Paribas Easy 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 BNP Paribas. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BNP Paribas Easy has no effect on the direction of Lyxor MSCI i.e., Lyxor MSCI and BNP Paribas go up and down completely randomly.
Pair Corralation between Lyxor MSCI and BNP Paribas
Assuming the 90 days trading horizon Lyxor MSCI China is expected to generate 2.21 times more return on investment than BNP Paribas. However, Lyxor MSCI is 2.21 times more volatile than BNP Paribas Easy. It trades about 0.2 of its potential returns per unit of risk. BNP Paribas Easy is currently generating about 0.14 per unit of risk. If you would invest 9,063 in Lyxor MSCI China on November 30, 2024 and sell it today you would earn a total of 1,369 from holding Lyxor MSCI China or generate 15.11% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor MSCI China vs. BNP Paribas Easy
Performance |
| Timeline |
| Lyxor MSCI China |
| BNP Paribas Easy |
Lyxor MSCI and BNP Paribas Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor MSCI and BNP Paribas
The main advantage of trading using opposite Lyxor MSCI and BNP Paribas positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor MSCI position performs unexpectedly, BNP Paribas 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 BNP Paribas will offset losses from the drop in BNP Paribas' 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 |
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 Sectors module to list of equity sectors categorizing publicly traded companies based on their primary business activities.
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