Correlation Between IShares Core and Lyxor UCITS
Can any of the company-specific risk be diversified away by investing in both IShares Core 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 IShares Core and Lyxor UCITS into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares Core Corp and Lyxor UCITS Stoxx, you can compare the effects of market volatilities on IShares Core 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 IShares Core with a short position of Lyxor UCITS. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Core and Lyxor UCITS.
Diversification Opportunities for IShares Core and Lyxor UCITS
0.88 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between IShares and Lyxor is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding iShares Core Corp and Lyxor UCITS Stoxx in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor UCITS Stoxx and IShares Core 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 iShares Core Corp 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 Stoxx has no effect on the direction of IShares Core i.e., IShares Core and Lyxor UCITS go up and down completely randomly.
Pair Corralation between IShares Core and Lyxor UCITS
Assuming the 90 days trading horizon IShares Core is expected to generate 18.1 times less return on investment than Lyxor UCITS. But when comparing it to its historical volatility, iShares Core Corp is 2.55 times less risky than Lyxor UCITS. It trades about 0.06 of its potential returns per unit of risk. Lyxor UCITS Stoxx is currently generating about 0.41 of returns per unit of risk over similar time horizon. If you would invest 5,280 in Lyxor UCITS Stoxx on November 28, 2024 and sell it today you would earn a total of 649.00 from holding Lyxor UCITS Stoxx or generate 12.29% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares Core Corp vs. Lyxor UCITS Stoxx
Performance |
| Timeline |
| iShares Core Corp |
| Lyxor UCITS Stoxx |
IShares Core and Lyxor UCITS Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Core and Lyxor UCITS
The main advantage of trading using opposite IShares Core and Lyxor UCITS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Core 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.| IShares Core vs. iShares Corp Bond | IShares Core vs. iShares Emerging Asia | IShares Core vs. iShares MSCI Global | IShares Core vs. iShares VII PLC |
| Lyxor UCITS vs. Lyxor Japan UCITS | Lyxor UCITS vs. Lyxor Euro Government | Lyxor UCITS vs. Lyxor MSCI China |
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 Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
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