Correlation Between Lyxor CAC and SPDR SP
Can any of the company-specific risk be diversified away by investing in both Lyxor CAC and SPDR SP 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 SPDR SP 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 SPDR SP 500, you can compare the effects of market volatilities on Lyxor CAC and SPDR SP 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 SPDR SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor CAC and SPDR SP.
Diversification Opportunities for Lyxor CAC and SPDR SP
Excellent diversification
The 3 months correlation between Lyxor and SPDR is -0.52. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor CAC 40 and SPDR SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR SP 500 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 SPDR SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR SP 500 has no effect on the direction of Lyxor CAC i.e., Lyxor CAC and SPDR SP go up and down completely randomly.
Pair Corralation between Lyxor CAC and SPDR SP
Assuming the 90 days trading horizon Lyxor CAC is expected to generate 2.92 times less return on investment than SPDR SP. But when comparing it to its historical volatility, Lyxor CAC 40 is 1.02 times less risky than SPDR SP. It trades about 0.04 of its potential returns per unit of risk. SPDR SP 500 is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest 37,379 in SPDR SP 500 on August 24, 2024 and sell it today you would earn a total of 19,961 from holding SPDR SP 500 or generate 53.4% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 98.02% |
| Values | Daily Returns |
Lyxor CAC 40 vs. SPDR SP 500
Performance |
| Timeline |
| Lyxor CAC 40 |
| SPDR SP 500 |
Lyxor CAC and SPDR SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor CAC and SPDR SP
The main advantage of trading using opposite Lyxor CAC and SPDR SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor CAC position performs unexpectedly, SPDR SP 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 SPDR SP will offset losses from the drop in SPDR SP's long position.| Lyxor CAC vs. Amundi Index Solutions | Lyxor CAC vs. Amundi ETF PEA | Lyxor CAC vs. Amundi ETF PEA | Lyxor CAC vs. Amundi Index Solutions |
| SPDR SP vs. SPDR MSCI Europe | SPDR SP vs. SPDR MSCI Europe | SPDR SP vs. SPDR Barclays Cap | SPDR SP vs. SPDR MSCI Europe |
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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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