Correlation Between Lyxor MSCI and Lyxor Index
Can any of the company-specific risk be diversified away by investing in both Lyxor MSCI and Lyxor Index 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 Lyxor Index 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 Lyxor Index Fund, you can compare the effects of market volatilities on Lyxor MSCI and Lyxor Index 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 Lyxor Index. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor MSCI and Lyxor Index.
Diversification Opportunities for Lyxor MSCI and Lyxor Index
-0.22 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Lyxor and Lyxor is -0.22. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor MSCI China and Lyxor Index Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor Index Fund 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 Lyxor Index. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor Index Fund has no effect on the direction of Lyxor MSCI i.e., Lyxor MSCI and Lyxor Index go up and down completely randomly.
Pair Corralation between Lyxor MSCI and Lyxor Index
Assuming the 90 days trading horizon Lyxor MSCI China is expected to under-perform the Lyxor Index. In addition to that, Lyxor MSCI is 1.76 times more volatile than Lyxor Index Fund. It trades about -0.08 of its total potential returns per unit of risk. Lyxor Index Fund is currently generating about 0.01 per unit of volatility. If you would invest 6,973 in Lyxor Index Fund on September 3, 2024 and sell it today you would earn a total of 4.00 from holding Lyxor Index Fund or generate 0.06% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor MSCI China vs. Lyxor Index Fund
Performance |
| Timeline |
| Lyxor MSCI China |
| Lyxor Index Fund |
Lyxor MSCI and Lyxor Index Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor MSCI and Lyxor Index
The main advantage of trading using opposite Lyxor MSCI and Lyxor Index positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor MSCI position performs unexpectedly, Lyxor Index 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 Index will offset losses from the drop in Lyxor Index'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 |
| Lyxor Index vs. Lyxor SP 500 | Lyxor Index vs. Lyxor UCITS Daily | Lyxor Index vs. Lyxor UCITS MSCI | Lyxor Index 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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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