Correlation Between Lyxor CAC and IShares China
Can any of the company-specific risk be diversified away by investing in both Lyxor CAC and IShares China 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 CAC and IShares China into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor CAC 40 and iShares China CNY, you can compare the effects of market volatilities on Lyxor CAC and IShares China 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 CAC with a short position of IShares China. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor CAC and IShares China.
Diversification Opportunities for Lyxor CAC and IShares China
-0.66 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Lyxor and IShares is -0.66. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor CAC 40 and iShares China CNY in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares China CNY and Lyxor CAC 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 CAC 40 are associated (or correlated) with IShares China. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares China CNY has no effect on the direction of Lyxor CAC i.e., Lyxor CAC and IShares China go up and down completely randomly.
Pair Corralation between Lyxor CAC and IShares China
Assuming the 90 days trading horizon Lyxor CAC is expected to generate 1.11 times less return on investment than IShares China. But when comparing it to its historical volatility, Lyxor CAC 40 is 1.11 times less risky than IShares China. It trades about 0.05 of its potential returns per unit of risk. iShares China CNY is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest 506.00 in iShares China CNY on September 21, 2024 and sell it today you would earn a total of 59.00 from holding iShares China CNY or generate 11.66% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 99.33% |
| Values | Daily Returns |
Lyxor CAC 40 vs. iShares China CNY
Performance |
| Timeline |
| Lyxor CAC 40 |
| iShares China CNY |
Lyxor CAC and IShares China Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor CAC and IShares China
The main advantage of trading using opposite Lyxor CAC and IShares China positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor CAC position performs unexpectedly, IShares China 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 IShares China will offset losses from the drop in IShares China's long position.| Lyxor CAC vs. Lyxor UCITS Japan | Lyxor CAC vs. Lyxor UCITS Japan | Lyxor CAC vs. Lyxor UCITS Stoxx | Lyxor CAC vs. Amundi CAC 40 |
| IShares China vs. Lyxor UCITS Japan | IShares China vs. Lyxor UCITS Japan | IShares China vs. Lyxor UCITS Stoxx | IShares China vs. Amundi CAC 40 |
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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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