Correlation Between Lyxor UCITS and Invesco FTSE
Can any of the company-specific risk be diversified away by investing in both Lyxor UCITS and Invesco FTSE 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 FTSE 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 FTSE RAFI, you can compare the effects of market volatilities on Lyxor UCITS and Invesco FTSE 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 FTSE. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor UCITS and Invesco FTSE.
Diversification Opportunities for Lyxor UCITS and Invesco FTSE
0.29 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Lyxor and Invesco is 0.29. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS Japan and Invesco FTSE RAFI in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco FTSE RAFI 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 FTSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco FTSE RAFI has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and Invesco FTSE go up and down completely randomly.
Pair Corralation between Lyxor UCITS and Invesco FTSE
Assuming the 90 days trading horizon Lyxor UCITS is expected to generate 1.61 times less return on investment than Invesco FTSE. But when comparing it to its historical volatility, Lyxor UCITS Japan is 1.43 times less risky than Invesco FTSE. It trades about 0.05 of its potential returns per unit of risk. Invesco FTSE RAFI is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 2,067 in Invesco FTSE RAFI on August 30, 2024 and sell it today you would earn a total of 694.00 from holding Invesco FTSE RAFI or generate 33.58% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 81.55% |
| Values | Daily Returns |
Lyxor UCITS Japan vs. Invesco FTSE RAFI
Performance |
| Timeline |
| Lyxor UCITS Japan |
| Invesco FTSE RAFI |
Lyxor UCITS and Invesco FTSE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor UCITS and Invesco FTSE
The main advantage of trading using opposite Lyxor UCITS and Invesco FTSE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS position performs unexpectedly, Invesco FTSE 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 FTSE will offset losses from the drop in Invesco FTSE's long position.| Lyxor UCITS vs. Manitou BF SA | Lyxor UCITS vs. Ossiam Minimum Variance | Lyxor UCITS vs. Ekinops SA | Lyxor UCITS vs. Orapi SA |
| Invesco FTSE vs. Manitou BF SA | Invesco FTSE vs. Ossiam Minimum Variance | Invesco FTSE vs. Ekinops SA | Invesco FTSE vs. Orapi SA |
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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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