Correlation Between Lyxor SP and Lyxor 10Y
Can any of the company-specific risk be diversified away by investing in both Lyxor SP and Lyxor 10Y 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 SP and Lyxor 10Y into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor SP 500 and Lyxor 10Y Treasury, you can compare the effects of market volatilities on Lyxor SP and Lyxor 10Y 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 SP with a short position of Lyxor 10Y. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor SP and Lyxor 10Y.
Diversification Opportunities for Lyxor SP and Lyxor 10Y
Poor diversification
The 3 months correlation between Lyxor and Lyxor is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor SP 500 and Lyxor 10Y Treasury in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor 10Y Treasury and Lyxor SP 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 SP 500 are associated (or correlated) with Lyxor 10Y. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor 10Y Treasury has no effect on the direction of Lyxor SP i.e., Lyxor SP and Lyxor 10Y go up and down completely randomly.
Pair Corralation between Lyxor SP and Lyxor 10Y
Assuming the 90 days trading horizon Lyxor SP 500 is expected to under-perform the Lyxor 10Y. In addition to that, Lyxor SP is 1.1 times more volatile than Lyxor 10Y Treasury. It trades about -0.05 of its total potential returns per unit of risk. Lyxor 10Y Treasury is currently generating about 0.16 per unit of volatility. If you would invest 9,239 in Lyxor 10Y Treasury on November 4, 2024 and sell it today you would earn a total of 1,873 from holding Lyxor 10Y Treasury or generate 20.27% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.21% |
| Values | Daily Returns |
Lyxor SP 500 vs. Lyxor 10Y Treasury
Performance |
| Timeline |
| Lyxor SP 500 |
| Lyxor 10Y Treasury |
Lyxor SP and Lyxor 10Y Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor SP and Lyxor 10Y
The main advantage of trading using opposite Lyxor SP and Lyxor 10Y positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor SP position performs unexpectedly, Lyxor 10Y 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 10Y will offset losses from the drop in Lyxor 10Y's long position.| 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 |
| Lyxor 10Y vs. Amundi German Bund | Lyxor 10Y vs. Lyxor SP 500 | Lyxor 10Y vs. Lyxor UCITS Daily | Lyxor 10Y vs. Lyxor UCITS Stoxx |
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 Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
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