Correlation Between Lyxor CAC and Lyxor UCITS
Can any of the company-specific risk be diversified away by investing in both Lyxor CAC and Lyxor UCITS 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 Lyxor UCITS 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 Lyxor UCITS Dow, you can compare the effects of market volatilities on Lyxor CAC and Lyxor UCITS 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 Lyxor UCITS. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor CAC and Lyxor UCITS.
Diversification Opportunities for Lyxor CAC and Lyxor UCITS
-0.66 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Lyxor and Lyxor is -0.66. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor CAC 40 and Lyxor UCITS Dow in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor UCITS Dow 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 Lyxor UCITS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor UCITS Dow has no effect on the direction of Lyxor CAC i.e., Lyxor CAC and Lyxor UCITS go up and down completely randomly.
Pair Corralation between Lyxor CAC and Lyxor UCITS
Assuming the 90 days trading horizon Lyxor CAC 40 is expected to under-perform the Lyxor UCITS. But the etf apears to be less risky and, when comparing its historical volatility, Lyxor CAC 40 is 1.04 times less risky than Lyxor UCITS. The etf trades about -0.09 of its potential returns per unit of risk. The Lyxor UCITS Dow is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest 38,005 in Lyxor UCITS Dow on September 2, 2024 and sell it today you would earn a total of 5,315 from holding Lyxor UCITS Dow or generate 13.99% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor CAC 40 vs. Lyxor UCITS Dow
Performance |
| Timeline |
| Lyxor CAC 40 |
| Lyxor UCITS Dow |
Lyxor CAC and Lyxor UCITS Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor CAC and Lyxor UCITS
The main advantage of trading using opposite Lyxor CAC and Lyxor UCITS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor CAC position performs unexpectedly, Lyxor UCITS 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 UCITS will offset losses from the drop in Lyxor UCITS's long position.| Lyxor CAC vs. Manitou BF SA | Lyxor CAC vs. Granite 3x LVMH | Lyxor CAC vs. 21Shares Polkadot ETP | Lyxor CAC vs. Ekinops SA |
| Lyxor UCITS vs. Multi Units Luxembourg | Lyxor UCITS vs. Lyxor UCITS Stoxx | Lyxor UCITS vs. Lyxor MSCI China | Lyxor UCITS vs. Multi Units Luxembourg |
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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.
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