Correlation Between IShares SP and Lyxor Nasdaq
Can any of the company-specific risk be diversified away by investing in both IShares SP and Lyxor Nasdaq 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 Nasdaq 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 Nasdaq 100, you can compare the effects of market volatilities on IShares SP and Lyxor Nasdaq 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 Nasdaq. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares SP and Lyxor Nasdaq.
Diversification Opportunities for IShares SP and Lyxor Nasdaq
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between IShares and Lyxor is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding iShares SP 500 and Lyxor Nasdaq 100 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor Nasdaq 100 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 Nasdaq. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor Nasdaq 100 has no effect on the direction of IShares SP i.e., IShares SP and Lyxor Nasdaq go up and down completely randomly.
Pair Corralation between IShares SP and Lyxor Nasdaq
Assuming the 90 days trading horizon IShares SP is expected to generate 1.46 times less return on investment than Lyxor Nasdaq. But when comparing it to its historical volatility, iShares SP 500 is 1.58 times less risky than Lyxor Nasdaq. It trades about 0.12 of its potential returns per unit of risk. Lyxor Nasdaq 100 is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest 11,600 in Lyxor Nasdaq 100 on September 19, 2024 and sell it today you would earn a total of 9,115 from holding Lyxor Nasdaq 100 or generate 78.58% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 91.6% |
| Values | Daily Returns |
iShares SP 500 vs. Lyxor Nasdaq 100
Performance |
| Timeline |
| iShares SP 500 |
| Lyxor Nasdaq 100 |
IShares SP and Lyxor Nasdaq Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares SP and Lyxor Nasdaq
The main advantage of trading using opposite IShares SP and Lyxor Nasdaq positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares SP position performs unexpectedly, Lyxor Nasdaq 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 Nasdaq will offset losses from the drop in Lyxor Nasdaq's long position.| IShares SP vs. Baloise Holding AG | IShares SP vs. 21Shares Polkadot ETP | IShares SP vs. UBS ETF MSCI | IShares SP vs. BB Biotech AG |
| Lyxor Nasdaq vs. Lyxor Japan UCITS | Lyxor Nasdaq vs. Lyxor Euro Government | Lyxor Nasdaq 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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.
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