Correlation Between IShares SP and Lyxor Japan
Can any of the company-specific risk be diversified away by investing in both IShares SP and Lyxor Japan 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 SP and Lyxor Japan into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares SP 500 and Lyxor Japan UCITS, you can compare the effects of market volatilities on IShares SP and Lyxor Japan 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 SP with a short position of Lyxor Japan. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares SP and Lyxor Japan.
Diversification Opportunities for IShares SP and Lyxor Japan
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between IShares and Lyxor is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding iShares SP 500 and Lyxor Japan UCITS in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor Japan UCITS and IShares SP 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 SP 500 are associated (or correlated) with Lyxor Japan. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor Japan UCITS has no effect on the direction of IShares SP i.e., IShares SP and Lyxor Japan go up and down completely randomly.
Pair Corralation between IShares SP and Lyxor Japan
Assuming the 90 days trading horizon iShares SP 500 is expected to generate 0.56 times more return on investment than Lyxor Japan. However, iShares SP 500 is 1.78 times less risky than Lyxor Japan. It trades about 0.12 of its potential returns per unit of risk. Lyxor Japan UCITS is currently generating about 0.06 per unit of risk. If you would invest 4,444 in iShares SP 500 on August 26, 2024 and sell it today you would earn a total of 1,498 from holding iShares SP 500 or generate 33.71% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 84.13% |
| Values | Daily Returns |
iShares SP 500 vs. Lyxor Japan UCITS
Performance |
| Timeline |
| iShares SP 500 |
| Lyxor Japan UCITS |
IShares SP and Lyxor Japan Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares SP and Lyxor Japan
The main advantage of trading using opposite IShares SP and Lyxor Japan positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares SP position performs unexpectedly, Lyxor Japan 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 Japan will offset losses from the drop in Lyxor Japan's long position.| IShares SP vs. UBSFund Solutions MSCI | IShares SP vs. iShares VII PLC | IShares SP vs. Lyxor Japan UCITS | IShares SP vs. iShares Core MSCI |
| Lyxor Japan vs. UBSFund Solutions MSCI | Lyxor Japan vs. iShares VII PLC | Lyxor Japan vs. iShares Core MSCI | Lyxor Japan vs. iShares SP 500 |
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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.
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