Correlation Between Lyxor SP and Lyxor UCITS
Can any of the company-specific risk be diversified away by investing in both Lyxor SP and Lyxor UCITS 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 UCITS 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 UCITS iBoxx, you can compare the effects of market volatilities on Lyxor SP and Lyxor UCITS 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 UCITS. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor SP and Lyxor UCITS.
Diversification Opportunities for Lyxor SP and Lyxor UCITS
-0.31 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Lyxor and Lyxor is -0.31. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor SP 500 and Lyxor UCITS iBoxx in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor UCITS iBoxx 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 UCITS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor UCITS iBoxx has no effect on the direction of Lyxor SP i.e., Lyxor SP and Lyxor UCITS go up and down completely randomly.
Pair Corralation between Lyxor SP and Lyxor UCITS
Assuming the 90 days trading horizon Lyxor SP 500 is expected to under-perform the Lyxor UCITS. In addition to that, Lyxor SP is 4.53 times more volatile than Lyxor UCITS iBoxx. It trades about -0.07 of its total potential returns per unit of risk. Lyxor UCITS iBoxx is currently generating about 0.1 per unit of volatility. If you would invest 9,410 in Lyxor UCITS iBoxx on August 29, 2024 and sell it today you would earn a total of 1,281 from holding Lyxor UCITS iBoxx or generate 13.61% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor SP 500 vs. Lyxor UCITS iBoxx
Performance |
| Timeline |
| Lyxor SP 500 |
| Lyxor UCITS iBoxx |
Lyxor SP and Lyxor UCITS Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor SP and Lyxor UCITS
The main advantage of trading using opposite Lyxor SP and Lyxor UCITS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor SP position performs unexpectedly, Lyxor UCITS 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 UCITS will offset losses from the drop in Lyxor UCITS'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 UCITS vs. Lyxor SP 500 | Lyxor UCITS vs. Lyxor UCITS Daily | Lyxor UCITS vs. Lyxor UCITS MSCI | Lyxor UCITS 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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.
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