Correlation Between SSgA SPDR and Lyxor BofAML
Can any of the company-specific risk be diversified away by investing in both SSgA SPDR and Lyxor BofAML 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 SSgA SPDR and Lyxor BofAML into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SSgA SPDR ETFs and Lyxor BofAML High, you can compare the effects of market volatilities on SSgA SPDR and Lyxor BofAML 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 SSgA SPDR with a short position of Lyxor BofAML. Check out your portfolio center. Please also check ongoing floating volatility patterns of SSgA SPDR and Lyxor BofAML.
Diversification Opportunities for SSgA SPDR and Lyxor BofAML
0.8 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between SSgA and Lyxor is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding SSgA SPDR ETFs and Lyxor BofAML High in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor BofAML High and SSgA SPDR 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 SSgA SPDR ETFs are associated (or correlated) with Lyxor BofAML. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor BofAML High has no effect on the direction of SSgA SPDR i.e., SSgA SPDR and Lyxor BofAML go up and down completely randomly.
Pair Corralation between SSgA SPDR and Lyxor BofAML
Assuming the 90 days trading horizon SSgA SPDR ETFs is expected to generate 0.53 times more return on investment than Lyxor BofAML. However, SSgA SPDR ETFs is 1.88 times less risky than Lyxor BofAML. It trades about 0.14 of its potential returns per unit of risk. Lyxor BofAML High is currently generating about -0.07 per unit of risk. If you would invest 5,283 in SSgA SPDR ETFs on November 2, 2024 and sell it today you would earn a total of 45.00 from holding SSgA SPDR ETFs or generate 0.85% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 95.45% |
| Values | Daily Returns |
SSgA SPDR ETFs vs. Lyxor BofAML High
Performance |
| Timeline |
| SSgA SPDR ETFs |
| Lyxor BofAML High |
SSgA SPDR and Lyxor BofAML Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SSgA SPDR and Lyxor BofAML
The main advantage of trading using opposite SSgA SPDR and Lyxor BofAML positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SSgA SPDR position performs unexpectedly, Lyxor BofAML 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 BofAML will offset losses from the drop in Lyxor BofAML's long position.| SSgA SPDR vs. SSgA SPDR ETFs | SSgA SPDR vs. SSgA SPDR ETFs | SSgA SPDR vs. SSgA SPDR ETFs | SSgA SPDR vs. SSgA SPDR ETFs |
| Lyxor BofAML vs. Lyxor SP 500 | Lyxor BofAML vs. Lyxor UCITS Daily | Lyxor BofAML vs. Lyxor UCITS MSCI | Lyxor BofAML 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 Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
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