Correlation Between Lyxor UCITS and Lyxor SP
Can any of the company-specific risk be diversified away by investing in both Lyxor UCITS and Lyxor 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 UCITS and Lyxor SP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor UCITS Daily and Lyxor SP 500, you can compare the effects of market volatilities on Lyxor UCITS and Lyxor 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 UCITS with a short position of Lyxor SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor UCITS and Lyxor SP.
Diversification Opportunities for Lyxor UCITS and Lyxor SP
0.05 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Lyxor and Lyxor is 0.05. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS Daily and Lyxor SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor SP 500 and Lyxor UCITS 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 UCITS Daily are associated (or correlated) with Lyxor SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor SP 500 has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and Lyxor SP go up and down completely randomly.
Pair Corralation between Lyxor UCITS and Lyxor SP
Assuming the 90 days trading horizon Lyxor UCITS Daily is expected to under-perform the Lyxor SP. In addition to that, Lyxor UCITS is 1.17 times more volatile than Lyxor SP 500. It trades about -0.07 of its total potential returns per unit of risk. Lyxor SP 500 is currently generating about -0.06 per unit of volatility. If you would invest 1,005 in Lyxor SP 500 on December 11, 2024 and sell it today you would lose (380.00) from holding Lyxor SP 500 or give up 37.81% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor UCITS Daily vs. Lyxor SP 500
Performance |
| Timeline |
| Lyxor UCITS Daily |
| Lyxor SP 500 |
Lyxor UCITS and Lyxor SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor UCITS and Lyxor SP
The main advantage of trading using opposite Lyxor UCITS and Lyxor SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS position performs unexpectedly, Lyxor 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 Lyxor SP will offset losses from the drop in Lyxor SP's long position.| Lyxor UCITS vs. Lyxor UCITS CAC | ||
| Lyxor UCITS vs. Lyxor UCITS Stoxx | ||
| Lyxor UCITS vs. Lyxor SP 500 | ||
| Lyxor UCITS vs. Lyxor UCITS Daily |
| Lyxor SP vs. Lyxor UCITS CAC | ||
| Lyxor SP vs. Lyxor UCITS Stoxx | ||
| Lyxor SP vs. Lyxor UCITS Daily | ||
| Lyxor SP vs. Lyxor UCITS NASDAQ 100 |
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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
Other Complementary Tools
| Portfolio Volatility Check portfolio volatility and analyze historical return density to properly model market risk | |
| Latest Portfolios Quick portfolio dashboard that showcases your latest portfolios | |
| Theme Ratings Determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
| Pattern Recognition Use different Pattern Recognition models to time the market across multiple global exchanges | |
| Bonds Directory Find actively traded corporate debentures issued by US companies |