Correlation Between Lyxor UCITS and Lyxor 10Y
Can any of the company-specific risk be diversified away by investing in both Lyxor UCITS and Lyxor 10Y 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 UCITS and Lyxor 10Y into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor UCITS Daily and Lyxor 10Y Treasury, you can compare the effects of market volatilities on Lyxor UCITS and Lyxor 10Y 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 UCITS with a short position of Lyxor 10Y. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor UCITS and Lyxor 10Y.
Diversification Opportunities for Lyxor UCITS and Lyxor 10Y
0.31 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Lyxor and Lyxor is 0.31. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS Daily and Lyxor 10Y Treasury in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor 10Y Treasury and Lyxor UCITS 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 UCITS Daily are associated (or correlated) with Lyxor 10Y. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor 10Y Treasury has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and Lyxor 10Y go up and down completely randomly.
Pair Corralation between Lyxor UCITS and Lyxor 10Y
Assuming the 90 days trading horizon Lyxor UCITS is expected to generate 1.37 times less return on investment than Lyxor 10Y. But when comparing it to its historical volatility, Lyxor UCITS Daily is 1.01 times less risky than Lyxor 10Y. It trades about 0.05 of its potential returns per unit of risk. Lyxor 10Y Treasury is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 10,786 in Lyxor 10Y Treasury on October 25, 2024 and sell it today you would earn a total of 283.00 from holding Lyxor 10Y Treasury or generate 2.62% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor UCITS Daily vs. Lyxor 10Y Treasury
Performance |
| Timeline |
| Lyxor UCITS Daily |
| Lyxor 10Y Treasury |
Lyxor UCITS and Lyxor 10Y Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor UCITS and Lyxor 10Y
The main advantage of trading using opposite Lyxor UCITS and Lyxor 10Y positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS position performs unexpectedly, Lyxor 10Y 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 10Y will offset losses from the drop in Lyxor 10Y's long position.The idea behind Lyxor UCITS Daily and Lyxor 10Y Treasury pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| Lyxor 10Y vs. Amundi German Bund | Lyxor 10Y vs. Lyxor SP 500 | Lyxor 10Y vs. Lyxor UCITS Daily | Lyxor 10Y vs. Lyxor UCITS Stoxx |
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 Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.
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