Correlation Between IShares Core and Lyxor SMI
Can any of the company-specific risk be diversified away by investing in both IShares Core and Lyxor SMI 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 SMI 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 SMI Daily, you can compare the effects of market volatilities on IShares Core and Lyxor SMI 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 SMI. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Core and Lyxor SMI.
Diversification Opportunities for IShares Core and Lyxor SMI
-0.48 | Correlation Coefficient |
Very good diversification
The 3 months correlation between IShares and Lyxor is -0.48. Overlapping area represents the amount of risk that can be diversified away by holding iShares Core MSCI and Lyxor SMI Daily in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor SMI Daily 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 SMI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor SMI Daily has no effect on the direction of IShares Core i.e., IShares Core and Lyxor SMI go up and down completely randomly.
Pair Corralation between IShares Core and Lyxor SMI
Assuming the 90 days trading horizon iShares Core MSCI is expected to generate 0.64 times more return on investment than Lyxor SMI. However, iShares Core MSCI is 1.56 times less risky than Lyxor SMI. It trades about 0.04 of its potential returns per unit of risk. Lyxor SMI Daily is currently generating about -0.01 per unit of risk. If you would invest 3,021 in iShares Core MSCI on August 31, 2024 and sell it today you would earn a total of 439.00 from holding iShares Core MSCI or generate 14.53% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares Core MSCI vs. Lyxor SMI Daily
Performance |
| Timeline |
| iShares Core MSCI |
| Lyxor SMI Daily |
IShares Core and Lyxor SMI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Core and Lyxor SMI
The main advantage of trading using opposite IShares Core and Lyxor SMI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Core position performs unexpectedly, Lyxor SMI 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 SMI will offset losses from the drop in Lyxor SMI's long position.| IShares Core vs. iShares Corp Bond | IShares Core vs. iShares Emerging Asia | IShares Core vs. iShares MSCI Global | IShares Core vs. iShares VII PLC |
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 Stocks Directory module to find actively traded stocks across global markets.
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