Correlation Between Lyxor UCITS and SPDR Barclays
Can any of the company-specific risk be diversified away by investing in both Lyxor UCITS and SPDR Barclays 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 UCITS and SPDR Barclays into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor UCITS Japan and SPDR Barclays Capital, you can compare the effects of market volatilities on Lyxor UCITS and SPDR Barclays 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 UCITS with a short position of SPDR Barclays. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor UCITS and SPDR Barclays.
Diversification Opportunities for Lyxor UCITS and SPDR Barclays
0.83 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Lyxor and SPDR is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS Japan and SPDR Barclays Capital in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Barclays Capital and Lyxor UCITS 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 UCITS Japan are associated (or correlated) with SPDR Barclays. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR Barclays Capital has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and SPDR Barclays go up and down completely randomly.
Pair Corralation between Lyxor UCITS and SPDR Barclays
Assuming the 90 days trading horizon Lyxor UCITS Japan is expected to generate 13.37 times more return on investment than SPDR Barclays. However, Lyxor UCITS is 13.37 times more volatile than SPDR Barclays Capital. It trades about 0.02 of its potential returns per unit of risk. SPDR Barclays Capital is currently generating about -0.11 per unit of risk. If you would invest 16,284 in Lyxor UCITS Japan on October 20, 2024 and sell it today you would earn a total of 36.00 from holding Lyxor UCITS Japan or generate 0.22% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 95.0% |
| Values | Daily Returns |
Lyxor UCITS Japan vs. SPDR Barclays Capital
Performance |
| Timeline |
| Lyxor UCITS Japan |
| SPDR Barclays Capital |
Lyxor UCITS and SPDR Barclays Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor UCITS and SPDR Barclays
The main advantage of trading using opposite Lyxor UCITS and SPDR Barclays positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS position performs unexpectedly, SPDR Barclays 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 SPDR Barclays will offset losses from the drop in SPDR Barclays' long position.| Lyxor UCITS vs. Lyxor UCITS Japan | Lyxor UCITS vs. Lyxor UCITS Stoxx | Lyxor UCITS vs. Amundi CAC 40 | Lyxor UCITS vs. Gold Bullion Securities |
| SPDR Barclays vs. Lyxor UCITS Japan | SPDR Barclays vs. Lyxor UCITS Japan | SPDR Barclays vs. Lyxor UCITS Stoxx | SPDR Barclays vs. Amundi CAC 40 |
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 Transaction History module to view history of all your transactions and understand their impact on performance.
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