Correlation Between Lyxor UCITS and Invesco SP
Can any of the company-specific risk be diversified away by investing in both Lyxor UCITS and Invesco SP 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 Invesco SP 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 Invesco SP 500, you can compare the effects of market volatilities on Lyxor UCITS and Invesco SP 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 Invesco SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor UCITS and Invesco SP.
Diversification Opportunities for Lyxor UCITS and Invesco SP
0.27 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Lyxor and Invesco is 0.27. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS Japan and Invesco SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco SP 500 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 Invesco SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco SP 500 has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and Invesco SP go up and down completely randomly.
Pair Corralation between Lyxor UCITS and Invesco SP
Assuming the 90 days trading horizon Lyxor UCITS is expected to generate 4.44 times less return on investment than Invesco SP. But when comparing it to its historical volatility, Lyxor UCITS Japan is 1.18 times less risky than Invesco SP. It trades about 0.06 of its potential returns per unit of risk. Invesco SP 500 is currently generating about 0.23 of returns per unit of risk over similar time horizon. If you would invest 3,979 in Invesco SP 500 on August 26, 2024 and sell it today you would earn a total of 2,039 from holding Invesco SP 500 or generate 51.24% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 60.32% |
| Values | Daily Returns |
Lyxor UCITS Japan vs. Invesco SP 500
Performance |
| Timeline |
| Lyxor UCITS Japan |
| Invesco SP 500 |
Lyxor UCITS and Invesco SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor UCITS and Invesco SP
The main advantage of trading using opposite Lyxor UCITS and Invesco SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS position performs unexpectedly, Invesco SP 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 Invesco SP will offset losses from the drop in Invesco SP's long position.| Lyxor UCITS vs. Lyxor UCITS Stoxx | Lyxor UCITS vs. Gold Bullion Securities | Lyxor UCITS vs. Lyxor CAC 40 | Lyxor UCITS vs. SSgA SPDR ETFs |
| Invesco SP vs. Lyxor UCITS Japan | Invesco SP vs. Lyxor UCITS Stoxx | Invesco SP vs. Gold Bullion Securities | Invesco SP vs. Lyxor 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 FinTech Suite module to use AI to screen and filter profitable investment opportunities.
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