Correlation Between Lyxor Euro and Lyxor MSCI
Can any of the company-specific risk be diversified away by investing in both Lyxor Euro and Lyxor MSCI 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 Euro and Lyxor MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor Euro Government and Lyxor MSCI Europe, you can compare the effects of market volatilities on Lyxor Euro and Lyxor MSCI 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 Euro with a short position of Lyxor MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor Euro and Lyxor MSCI.
Diversification Opportunities for Lyxor Euro and Lyxor MSCI
0.1 | Correlation Coefficient |
Average diversification
The 3 months correlation between Lyxor and Lyxor is 0.1. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor Euro Government and Lyxor MSCI Europe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor MSCI Europe and Lyxor Euro 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 Euro Government are associated (or correlated) with Lyxor MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor MSCI Europe has no effect on the direction of Lyxor Euro i.e., Lyxor Euro and Lyxor MSCI go up and down completely randomly.
Pair Corralation between Lyxor Euro and Lyxor MSCI
Assuming the 90 days trading horizon Lyxor Euro Government is expected to under-perform the Lyxor MSCI. But the etf apears to be less risky and, when comparing its historical volatility, Lyxor Euro Government is 67.18 times less risky than Lyxor MSCI. The etf trades about -0.01 of its potential returns per unit of risk. The Lyxor MSCI Europe is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest 2,846 in Lyxor MSCI Europe on September 2, 2024 and sell it today you would lose (2,825) from holding Lyxor MSCI Europe or give up 99.26% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 99.8% |
| Values | Daily Returns |
Lyxor Euro Government vs. Lyxor MSCI Europe
Performance |
| Timeline |
| Lyxor Euro Government |
| Lyxor MSCI Europe |
Lyxor Euro and Lyxor MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor Euro and Lyxor MSCI
The main advantage of trading using opposite Lyxor Euro and Lyxor MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor Euro position performs unexpectedly, Lyxor MSCI 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 MSCI will offset losses from the drop in Lyxor MSCI's long position.| Lyxor Euro vs. UBSFund Solutions MSCI | Lyxor Euro vs. Vanguard SP 500 | Lyxor Euro vs. iShares VII PLC | Lyxor Euro vs. iShares Core SP |
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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.
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