Correlation Between SPDR MSCI and Lyxor UCITS
Can any of the company-specific risk be diversified away by investing in both SPDR MSCI and Lyxor UCITS 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 SPDR MSCI and Lyxor UCITS into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR MSCI Europe and Lyxor UCITS Japan, you can compare the effects of market volatilities on SPDR MSCI and Lyxor UCITS 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 SPDR MSCI with a short position of Lyxor UCITS. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR MSCI and Lyxor UCITS.
Diversification Opportunities for SPDR MSCI and Lyxor UCITS
0.0 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between SPDR and Lyxor is 0.0. Overlapping area represents the amount of risk that can be diversified away by holding SPDR MSCI Europe and Lyxor UCITS Japan in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor UCITS Japan and SPDR MSCI 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 SPDR MSCI Europe are associated (or correlated) with Lyxor UCITS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor UCITS Japan has no effect on the direction of SPDR MSCI i.e., SPDR MSCI and Lyxor UCITS go up and down completely randomly.
Pair Corralation between SPDR MSCI and Lyxor UCITS
Assuming the 90 days trading horizon SPDR MSCI Europe is expected to generate 0.59 times more return on investment than Lyxor UCITS. However, SPDR MSCI Europe is 1.7 times less risky than Lyxor UCITS. It trades about 0.35 of its potential returns per unit of risk. Lyxor UCITS Japan is currently generating about 0.14 per unit of risk. If you would invest 30,348 in SPDR MSCI Europe on September 13, 2024 and sell it today you would earn a total of 1,142 from holding SPDR MSCI Europe or generate 3.76% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Flat |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR MSCI Europe vs. Lyxor UCITS Japan
Performance |
| Timeline |
| SPDR MSCI Europe |
| Lyxor UCITS Japan |
SPDR MSCI and Lyxor UCITS Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR MSCI and Lyxor UCITS
The main advantage of trading using opposite SPDR MSCI and Lyxor UCITS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR MSCI position performs unexpectedly, Lyxor UCITS 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 UCITS will offset losses from the drop in Lyxor UCITS's long position.| SPDR MSCI vs. SPDR MSCI Europe | SPDR MSCI vs. SPDR Barclays Cap | SPDR MSCI vs. SPDR SP 500 | SPDR MSCI vs. SPDR MSCI Europe |
| Lyxor UCITS vs. Lyxor UCITS Japan | Lyxor UCITS vs. Amundi Index Solutions | Lyxor UCITS vs. Amundi Index Solutions | Lyxor UCITS vs. Amundi Index Solutions |
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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