Correlation Between Lyxor 10Y and SP 500
Can any of the company-specific risk be diversified away by investing in both Lyxor 10Y and SP 500 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 10Y and SP 500 into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor 10Y Inflation and SP 500 VIX, you can compare the effects of market volatilities on Lyxor 10Y and SP 500 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 10Y with a short position of SP 500. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor 10Y and SP 500.
Diversification Opportunities for Lyxor 10Y and SP 500
Very good diversification
The 3 months correlation between Lyxor and VILX is -0.36. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor 10Y Inflation and SP 500 VIX in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SP 500 VIX and Lyxor 10Y 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 10Y Inflation are associated (or correlated) with SP 500. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SP 500 VIX has no effect on the direction of Lyxor 10Y i.e., Lyxor 10Y and SP 500 go up and down completely randomly.
Pair Corralation between Lyxor 10Y and SP 500
Assuming the 90 days trading horizon Lyxor 10Y is expected to generate 164.99 times less return on investment than SP 500. But when comparing it to its historical volatility, Lyxor 10Y Inflation is 318.35 times less risky than SP 500. It trades about 0.11 of its potential returns per unit of risk. SP 500 VIX is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 170.00 in SP 500 VIX on September 14, 2024 and sell it today you would earn a total of 157,389 from holding SP 500 VIX or generate 92581.76% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor 10Y Inflation vs. SP 500 VIX
Performance |
| Timeline |
| Lyxor 10Y Inflation |
| SP 500 VIX |
Lyxor 10Y and SP 500 Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor 10Y and SP 500
The main advantage of trading using opposite Lyxor 10Y and SP 500 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor 10Y position performs unexpectedly, SP 500 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 SP 500 will offset losses from the drop in SP 500's long position.| Lyxor 10Y vs. Lyxor Smart Overnight | Lyxor 10Y vs. Lyxor UCITS EuroMTS | Lyxor 10Y vs. Lyxor Core UK | Lyxor 10Y vs. Lyxor Core Global |
| SP 500 vs. iShares MSCI Japan | SP 500 vs. Amundi EUR High | SP 500 vs. iShares JP Morgan | SP 500 vs. Xtrackers MSCI |
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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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