Correlation Between IShares VII and Lyxor MSCI
Can any of the company-specific risk be diversified away by investing in both IShares VII 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 IShares VII and Lyxor MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares VII PLC and Lyxor MSCI China, you can compare the effects of market volatilities on IShares VII 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 IShares VII with a short position of Lyxor MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares VII and Lyxor MSCI.
Diversification Opportunities for IShares VII and Lyxor MSCI
0.68 | Correlation Coefficient |
Poor diversification
The 3 months correlation between IShares and Lyxor is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding iShares VII PLC 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 IShares VII 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 iShares VII PLC 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 IShares VII i.e., IShares VII and Lyxor MSCI go up and down completely randomly.
Pair Corralation between IShares VII and Lyxor MSCI
Assuming the 90 days trading horizon iShares VII PLC is expected to generate 0.93 times more return on investment than Lyxor MSCI. However, iShares VII PLC is 1.07 times less risky than Lyxor MSCI. It trades about -0.03 of its potential returns per unit of risk. Lyxor MSCI China is currently generating about -0.17 per unit of risk. If you would invest 3,888,500 in iShares VII PLC on September 2, 2024 and sell it today you would lose (32,000) from holding iShares VII PLC or give up 0.82% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
iShares VII PLC vs. Lyxor MSCI China
Performance |
| Timeline |
| iShares VII PLC |
| Lyxor MSCI China |
IShares VII and Lyxor MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares VII and Lyxor MSCI
The main advantage of trading using opposite IShares VII and Lyxor MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares VII 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.| IShares VII vs. iShares Corp Bond | IShares VII vs. iShares Emerging Asia | IShares VII vs. iShares MSCI Global | IShares VII vs. iShares VII PLC |
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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.
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