Correlation Between Lyxor UCITS and Lyxor Index
Can any of the company-specific risk be diversified away by investing in both Lyxor UCITS and Lyxor Index 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 Index 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 Index Fund, you can compare the effects of market volatilities on Lyxor UCITS and Lyxor Index 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 Index. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor UCITS and Lyxor Index.
Diversification Opportunities for Lyxor UCITS and Lyxor Index
0.17 | Correlation Coefficient |
Average diversification
The 3 months correlation between Lyxor and Lyxor is 0.17. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS Daily and Lyxor Index Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor Index Fund 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 Index. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor Index Fund has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and Lyxor Index go up and down completely randomly.
Pair Corralation between Lyxor UCITS and Lyxor Index
Assuming the 90 days trading horizon Lyxor UCITS Daily is expected to under-perform the Lyxor Index. In addition to that, Lyxor UCITS is 2.21 times more volatile than Lyxor Index Fund. It trades about -0.07 of its total potential returns per unit of risk. Lyxor Index Fund is currently generating about -0.1 per unit of volatility. If you would invest 9,045 in Lyxor Index Fund on September 3, 2024 and sell it today you would lose (294.00) from holding Lyxor Index Fund or give up 3.25% 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 Index Fund
Performance |
| Timeline |
| Lyxor UCITS Daily |
| Lyxor Index Fund |
Lyxor UCITS and Lyxor Index Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor UCITS and Lyxor Index
The main advantage of trading using opposite Lyxor UCITS and Lyxor Index positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS position performs unexpectedly, Lyxor Index 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 Index will offset losses from the drop in Lyxor Index's long position.| Lyxor UCITS vs. Amundi Index Solutions | Lyxor UCITS vs. Amundi Index Solutions | Lyxor UCITS vs. Manitou BF SA | Lyxor UCITS vs. Ossiam Minimum Variance |
| Lyxor Index vs. Lyxor SP 500 | Lyxor Index vs. Lyxor UCITS Daily | Lyxor Index vs. Lyxor UCITS MSCI | Lyxor Index vs. Lyxor Treasury 10Y |
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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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