Correlation Between IShares MSCI and Lyxor MSCI
Can any of the company-specific risk be diversified away by investing in both IShares MSCI and Lyxor 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 IShares MSCI and Lyxor MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares MSCI World and Lyxor MSCI Emerging, you can compare the effects of market volatilities on IShares MSCI and Lyxor 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 IShares MSCI with a short position of Lyxor MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares MSCI and Lyxor MSCI.
Diversification Opportunities for IShares MSCI and Lyxor MSCI
0.8 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between IShares and Lyxor is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding iShares MSCI World and Lyxor MSCI Emerging in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor MSCI Emerging and IShares MSCI 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 MSCI World are associated (or correlated) with Lyxor MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor MSCI Emerging has no effect on the direction of IShares MSCI i.e., IShares MSCI and Lyxor MSCI go up and down completely randomly.
Pair Corralation between IShares MSCI and Lyxor MSCI
Assuming the 90 days trading horizon iShares MSCI World is expected to generate 0.56 times more return on investment than Lyxor MSCI. However, iShares MSCI World is 1.77 times less risky than Lyxor MSCI. It trades about 0.1 of its potential returns per unit of risk. Lyxor MSCI Emerging is currently generating about 0.05 per unit of risk. If you would invest 5,502 in iShares MSCI World on September 12, 2024 and sell it today you would earn a total of 2,313 from holding iShares MSCI World or generate 42.04% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 62.7% |
| Values | Daily Returns |
iShares MSCI World vs. Lyxor MSCI Emerging
Performance |
| Timeline |
| iShares MSCI World |
| Lyxor MSCI Emerging |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
IShares MSCI and Lyxor MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares MSCI and Lyxor MSCI
The main advantage of trading using opposite IShares MSCI and Lyxor MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares MSCI position performs unexpectedly, Lyxor 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 Lyxor MSCI will offset losses from the drop in Lyxor MSCI's long position.| IShares MSCI vs. Baloise Holding AG | IShares MSCI vs. 21Shares Polkadot ETP | IShares MSCI vs. UBS ETF MSCI | IShares MSCI vs. BB Biotech AG |
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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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