Correlation Between IShares Core and Lyxor Japan
Can any of the company-specific risk be diversified away by investing in both IShares Core and Lyxor Japan 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 IShares Core and Lyxor Japan into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares Core MSCI and Lyxor Japan UCITS, you can compare the effects of market volatilities on IShares Core and Lyxor Japan 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 IShares Core with a short position of Lyxor Japan. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Core and Lyxor Japan.
Diversification Opportunities for IShares Core and Lyxor Japan
0.35 | Correlation Coefficient |
Weak diversification
The 3 months correlation between IShares and Lyxor is 0.35. Overlapping area represents the amount of risk that can be diversified away by holding iShares Core MSCI and Lyxor Japan UCITS in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor Japan UCITS and IShares Core 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 iShares Core MSCI are associated (or correlated) with Lyxor Japan. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor Japan UCITS has no effect on the direction of IShares Core i.e., IShares Core and Lyxor Japan go up and down completely randomly.
Pair Corralation between IShares Core and Lyxor Japan
Assuming the 90 days trading horizon iShares Core MSCI is expected to under-perform the Lyxor Japan. In addition to that, IShares Core is 1.01 times more volatile than Lyxor Japan UCITS. It trades about -0.19 of its total potential returns per unit of risk. Lyxor Japan UCITS is currently generating about 0.08 per unit of volatility. If you would invest 2,590,000 in Lyxor Japan UCITS on August 29, 2024 and sell it today you would earn a total of 42,000 from holding Lyxor Japan UCITS or generate 1.62% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares Core MSCI vs. Lyxor Japan UCITS
Performance |
| Timeline |
| iShares Core MSCI |
| Lyxor Japan UCITS |
IShares Core and Lyxor Japan Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Core and Lyxor Japan
The main advantage of trading using opposite IShares Core and Lyxor Japan positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Core position performs unexpectedly, Lyxor Japan 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 Japan will offset losses from the drop in Lyxor Japan's long position.| IShares Core vs. UBSFund Solutions MSCI | IShares Core vs. iShares Core SP | IShares Core vs. Baloise Holding AG | IShares Core vs. Autoneum Holding AG |
| Lyxor Japan vs. Lyxor Japan UCITS | Lyxor Japan vs. Lyxor Euro Government | Lyxor Japan vs. Lyxor MSCI China |
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 Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
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