Correlation Between Invesco MSCI and Lyxor MSCI
Can any of the company-specific risk be diversified away by investing in both Invesco MSCI 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 Invesco MSCI and Lyxor MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Invesco MSCI USA and Lyxor MSCI Emerging, you can compare the effects of market volatilities on Invesco MSCI 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 Invesco MSCI with a short position of Lyxor MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Invesco MSCI and Lyxor MSCI.
Diversification Opportunities for Invesco MSCI and Lyxor MSCI
0.83 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Invesco and Lyxor is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding Invesco MSCI USA and Lyxor MSCI Emerging in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor MSCI Emerging and Invesco 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 Invesco MSCI USA 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 Emerging has no effect on the direction of Invesco MSCI i.e., Invesco MSCI and Lyxor MSCI go up and down completely randomly.
Pair Corralation between Invesco MSCI and Lyxor MSCI
Assuming the 90 days trading horizon Invesco MSCI USA is expected to generate 0.6 times more return on investment than Lyxor MSCI. However, Invesco MSCI USA is 1.66 times less risky than Lyxor MSCI. It trades about 0.13 of its potential returns per unit of risk. Lyxor MSCI Emerging is currently generating about 0.05 per unit of risk. If you would invest 5,582 in Invesco MSCI USA on September 12, 2024 and sell it today you would earn a total of 3,599 from holding Invesco MSCI USA or generate 64.48% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 62.7% |
| Values | Daily Returns |
Invesco MSCI USA vs. Lyxor MSCI Emerging
Performance |
| Timeline |
| Invesco MSCI USA |
| Lyxor MSCI Emerging |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
Invesco MSCI and Lyxor MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Invesco MSCI and Lyxor MSCI
The main advantage of trading using opposite Invesco MSCI and Lyxor MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Invesco MSCI 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.| Invesco MSCI vs. Baloise Holding AG | Invesco MSCI vs. 21Shares Polkadot ETP | Invesco MSCI vs. UBS ETF MSCI | Invesco MSCI vs. BB Biotech AG |
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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
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