Correlation Between Lyxor Index and SPDR MSCI
Can any of the company-specific risk be diversified away by investing in both Lyxor Index and SPDR 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 Index and SPDR MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor Index Fund and SPDR MSCI ACWI, you can compare the effects of market volatilities on Lyxor Index and SPDR 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 Index with a short position of SPDR MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor Index and SPDR MSCI.
Diversification Opportunities for Lyxor Index and SPDR MSCI
-0.59 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Lyxor and SPDR is -0.59. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor Index Fund and SPDR MSCI ACWI in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR MSCI ACWI and Lyxor Index 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 Index Fund are associated (or correlated) with SPDR MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR MSCI ACWI has no effect on the direction of Lyxor Index i.e., Lyxor Index and SPDR MSCI go up and down completely randomly.
Pair Corralation between Lyxor Index and SPDR MSCI
Assuming the 90 days trading horizon Lyxor Index Fund is expected to under-perform the SPDR MSCI. In addition to that, Lyxor Index is 2.31 times more volatile than SPDR MSCI ACWI. It trades about -0.04 of its total potential returns per unit of risk. SPDR MSCI ACWI is currently generating about 0.2 per unit of volatility. If you would invest 22,984 in SPDR MSCI ACWI on October 20, 2024 and sell it today you would earn a total of 572.00 from holding SPDR MSCI ACWI or generate 2.49% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor Index Fund vs. SPDR MSCI ACWI
Performance |
| Timeline |
| Lyxor Index Fund |
| SPDR MSCI ACWI |
Lyxor Index and SPDR MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor Index and SPDR MSCI
The main advantage of trading using opposite Lyxor Index and SPDR MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor Index position performs unexpectedly, SPDR 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 SPDR MSCI will offset losses from the drop in SPDR MSCI's long position.| Lyxor Index vs. Multi Units Luxembourg | Lyxor Index vs. Lyxor Index Fund | Lyxor Index vs. Lyxor Index Fund |
| SPDR MSCI vs. Lyxor UCITS Japan | SPDR MSCI vs. Lyxor UCITS Japan | SPDR MSCI vs. Lyxor UCITS Stoxx | SPDR MSCI vs. Amundi CAC 40 |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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