Correlation Between Lyxor 1 and LYXOR EURO
Can any of the company-specific risk be diversified away by investing in both Lyxor 1 and LYXOR EURO 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 LYXOR EURO into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor 1 and LYXOR EURO STOXX, you can compare the effects of market volatilities on Lyxor 1 and LYXOR EURO 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 LYXOR EURO. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor 1 and LYXOR EURO.
Diversification Opportunities for Lyxor 1 and LYXOR EURO
-0.46 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Lyxor and LYXOR is -0.46. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor 1 and LYXOR EURO STOXX in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on LYXOR EURO STOXX 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 LYXOR EURO. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of LYXOR EURO STOXX has no effect on the direction of Lyxor 1 i.e., Lyxor 1 and LYXOR EURO go up and down completely randomly.
Pair Corralation between Lyxor 1 and LYXOR EURO
Assuming the 90 days trading horizon Lyxor 1 is expected to under-perform the LYXOR EURO. But the etf apears to be less risky and, when comparing its historical volatility, Lyxor 1 is 2.05 times less risky than LYXOR EURO. The etf trades about -0.07 of its potential returns per unit of risk. The LYXOR EURO STOXX is currently generating about 0.2 of returns per unit of risk over similar time horizon. If you would invest 75.00 in LYXOR EURO STOXX on August 28, 2024 and sell it today you would earn a total of 6.00 from holding LYXOR EURO STOXX or generate 8.0% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor 1 vs. LYXOR EURO STOXX
Performance |
| Timeline |
| Lyxor 1 |
| LYXOR EURO STOXX |
Lyxor 1 and LYXOR EURO Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor 1 and LYXOR EURO
The main advantage of trading using opposite Lyxor 1 and LYXOR EURO positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor 1 position performs unexpectedly, LYXOR EURO 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 EURO will offset losses from the drop in LYXOR EURO'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 |
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 Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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