Correlation Between Lyxor 1 and FF South
Can any of the company-specific risk be diversified away by investing in both Lyxor 1 and FF South 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 1 and FF South into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor 1 and FF South, you can compare the effects of market volatilities on Lyxor 1 and FF South 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 1 with a short position of FF South. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor 1 and FF South.
Diversification Opportunities for Lyxor 1 and FF South
Very weak diversification
The 3 months correlation between Lyxor and IPGS is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor 1 and FF South in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on FF South and Lyxor 1 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 1 are associated (or correlated) with FF South. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of FF South has no effect on the direction of Lyxor 1 i.e., Lyxor 1 and FF South go up and down completely randomly.
Pair Corralation between Lyxor 1 and FF South
Assuming the 90 days trading horizon Lyxor 1 is expected to generate 1.03 times more return on investment than FF South. However, Lyxor 1 is 1.03 times more volatile than FF South. It trades about -0.02 of its potential returns per unit of risk. FF South is currently generating about -0.07 per unit of risk. If you would invest 2,487 in Lyxor 1 on August 30, 2024 and sell it today you would lose (12.00) from holding Lyxor 1 or give up 0.48% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor 1 vs. FF South
Performance |
| Timeline |
| Lyxor 1 |
| FF South |
Lyxor 1 and FF South Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor 1 and FF South
The main advantage of trading using opposite Lyxor 1 and FF South positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor 1 position performs unexpectedly, FF South 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 FF South will offset losses from the drop in FF South's long position.| Lyxor 1 vs. Lyxor Fed Funds | Lyxor 1 vs. Lyxor BofAML USD | Lyxor 1 vs. Lyxor 1 TecDAX | Lyxor 1 vs. Lyxor UCITS EuroMTS |
| FF South vs. Renaissance Europe C | FF South vs. Superior Plus Corp | FF South vs. Origin Agritech | FF South vs. Identiv |
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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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