Correlation Between Lyxor Commodities and Lyxor MSCI
Can any of the company-specific risk be diversified away by investing in both Lyxor Commodities and Lyxor MSCI 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 Commodities and Lyxor MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor Commodities RefinitivCoreCommodity and Lyxor MSCI China, you can compare the effects of market volatilities on Lyxor Commodities and Lyxor MSCI 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 Commodities with a short position of Lyxor MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor Commodities and Lyxor MSCI.
Diversification Opportunities for Lyxor Commodities and Lyxor MSCI
0.85 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Lyxor and Lyxor is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor Commodities RefinitivCor and Lyxor MSCI China in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor MSCI China and Lyxor Commodities 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 Commodities RefinitivCoreCommodity are associated (or correlated) with Lyxor MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor MSCI China has no effect on the direction of Lyxor Commodities i.e., Lyxor Commodities and Lyxor MSCI go up and down completely randomly.
Pair Corralation between Lyxor Commodities and Lyxor MSCI
Assuming the 90 days trading horizon Lyxor Commodities RefinitivCoreCommodity is expected to generate 0.43 times more return on investment than Lyxor MSCI. However, Lyxor Commodities RefinitivCoreCommodity is 2.35 times less risky than Lyxor MSCI. It trades about 0.12 of its potential returns per unit of risk. Lyxor MSCI China is currently generating about -0.02 per unit of risk. If you would invest 2,261 in Lyxor Commodities RefinitivCoreCommodity on September 1, 2024 and sell it today you would earn a total of 42.00 from holding Lyxor Commodities RefinitivCoreCommodity or generate 1.86% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor Commodities RefinitivCor vs. Lyxor MSCI China
Performance |
| Timeline |
| Lyxor Commodities |
| Lyxor MSCI China |
Lyxor Commodities and Lyxor MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor Commodities and Lyxor MSCI
The main advantage of trading using opposite Lyxor Commodities and Lyxor MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor Commodities position performs unexpectedly, Lyxor MSCI 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 MSCI will offset losses from the drop in Lyxor MSCI's long position.| Lyxor Commodities vs. Multi Units France | Lyxor Commodities vs. Lyxor MSCI China | Lyxor Commodities vs. Manitou BF SA | Lyxor Commodities vs. Ossiam Minimum Variance |
| Lyxor MSCI vs. Multi Units France | Lyxor MSCI vs. Manitou BF SA | Lyxor MSCI vs. Ossiam Minimum Variance | Lyxor MSCI vs. Granite 3x LVMH |
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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
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