Correlation Between SPDR Barclays and Lyxor BofAML
Can any of the company-specific risk be diversified away by investing in both SPDR Barclays 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 SPDR Barclays and Lyxor BofAML into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR Barclays Capital and Lyxor BofAML High, you can compare the effects of market volatilities on SPDR Barclays 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 SPDR Barclays with a short position of Lyxor BofAML. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Barclays and Lyxor BofAML.
Diversification Opportunities for SPDR Barclays and Lyxor BofAML
0.68 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SPDR and Lyxor is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Barclays Capital 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 SPDR Barclays 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 Barclays Capital 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 SPDR Barclays i.e., SPDR Barclays and Lyxor BofAML go up and down completely randomly.
Pair Corralation between SPDR Barclays and Lyxor BofAML
Assuming the 90 days trading horizon SPDR Barclays Capital is expected to generate 0.13 times more return on investment than Lyxor BofAML. However, SPDR Barclays Capital is 7.54 times less risky than Lyxor BofAML. It trades about 0.01 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 5,252 in SPDR Barclays Capital on November 2, 2024 and sell it today you would earn a total of 1.00 from holding SPDR Barclays Capital or generate 0.02% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
SPDR Barclays Capital vs. Lyxor BofAML High
Performance |
| Timeline |
| SPDR Barclays Capital |
| Lyxor BofAML High |
SPDR Barclays and Lyxor BofAML Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Barclays and Lyxor BofAML
The main advantage of trading using opposite SPDR Barclays and Lyxor BofAML positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Barclays 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.| SPDR Barclays vs. SPDR MSCI Europe | SPDR Barclays vs. SPDR MSCI Europe | SPDR Barclays vs. SPDR Barclays Cap | SPDR Barclays vs. SPDR SP 500 |
| 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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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