Correlation Between Lyxor MSCI and Lyxor Smart
Can any of the company-specific risk be diversified away by investing in both Lyxor MSCI and Lyxor Smart 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 MSCI and Lyxor Smart into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor MSCI Korea and Lyxor Smart Overnight, you can compare the effects of market volatilities on Lyxor MSCI and Lyxor Smart 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 MSCI with a short position of Lyxor Smart. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor MSCI and Lyxor Smart.
Diversification Opportunities for Lyxor MSCI and Lyxor Smart
-0.75 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Lyxor and Lyxor is -0.75. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor MSCI Korea and Lyxor Smart Overnight in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor Smart Overnight and Lyxor 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 Lyxor MSCI Korea are associated (or correlated) with Lyxor Smart. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor Smart Overnight has no effect on the direction of Lyxor MSCI i.e., Lyxor MSCI and Lyxor Smart go up and down completely randomly.
Pair Corralation between Lyxor MSCI and Lyxor Smart
Assuming the 90 days trading horizon Lyxor MSCI Korea is expected to under-perform the Lyxor Smart. In addition to that, Lyxor MSCI is 40.1 times more volatile than Lyxor Smart Overnight. It trades about -0.12 of its total potential returns per unit of risk. Lyxor Smart Overnight is currently generating about 0.58 per unit of volatility. If you would invest 120,481 in Lyxor Smart Overnight on August 31, 2024 and sell it today you would earn a total of 1,544 from holding Lyxor Smart Overnight or generate 1.28% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor MSCI Korea vs. Lyxor Smart Overnight
Performance |
| Timeline |
| Lyxor MSCI Korea |
| Lyxor Smart Overnight |
Lyxor MSCI and Lyxor Smart Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor MSCI and Lyxor Smart
The main advantage of trading using opposite Lyxor MSCI and Lyxor Smart positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor MSCI position performs unexpectedly, Lyxor Smart 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 Smart will offset losses from the drop in Lyxor Smart's long position.| Lyxor MSCI vs. Lyxor Smart Overnight | Lyxor MSCI vs. Lyxor UCITS EuroMTS | Lyxor MSCI vs. Lyxor Core UK | Lyxor MSCI vs. Lyxor Core Global |
| Lyxor Smart vs. Lyxor UCITS EuroMTS | Lyxor Smart vs. Lyxor Core UK | Lyxor Smart vs. Lyxor Core Global | Lyxor Smart vs. Lyxor UCITS iBoxx |
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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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