Correlation Between Lyxor MSCI and Lyxor UCITS
Can any of the company-specific risk be diversified away by investing in both Lyxor MSCI and Lyxor UCITS 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 UCITS 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 UCITS iBoxx, you can compare the effects of market volatilities on Lyxor MSCI and Lyxor UCITS 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 UCITS. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor MSCI and Lyxor UCITS.
Diversification Opportunities for Lyxor MSCI and Lyxor UCITS
0.46 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Lyxor and Lyxor is 0.46. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor MSCI Korea and Lyxor UCITS iBoxx in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor UCITS iBoxx 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 UCITS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor UCITS iBoxx has no effect on the direction of Lyxor MSCI i.e., Lyxor MSCI and Lyxor UCITS go up and down completely randomly.
Pair Corralation between Lyxor MSCI and Lyxor UCITS
Assuming the 90 days trading horizon Lyxor MSCI Korea is expected to generate 3.3 times more return on investment than Lyxor UCITS. However, Lyxor MSCI is 3.3 times more volatile than Lyxor UCITS iBoxx. It trades about 0.23 of its potential returns per unit of risk. Lyxor UCITS iBoxx is currently generating about -0.21 per unit of risk. If you would invest 462,250 in Lyxor MSCI Korea on November 29, 2024 and sell it today you would earn a total of 25,925 from holding Lyxor MSCI Korea or generate 5.61% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor MSCI Korea vs. Lyxor UCITS iBoxx
Performance |
| Timeline |
| Lyxor MSCI Korea |
| Lyxor UCITS iBoxx |
Lyxor MSCI and Lyxor UCITS Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor MSCI and Lyxor UCITS
The main advantage of trading using opposite Lyxor MSCI and Lyxor UCITS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor MSCI position performs unexpectedly, Lyxor UCITS 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 UCITS will offset losses from the drop in Lyxor UCITS'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 UCITS vs. Lyxor Smart Overnight | Lyxor UCITS vs. Lyxor UCITS EuroMTS | Lyxor UCITS vs. Lyxor Core UK | Lyxor UCITS vs. Lyxor Core Global |
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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
Other Complementary Tools
| Efficient Frontier Plot and analyze your portfolio and positions against risk-return landscape of the market. | |
| Price Ceiling Movement Calculate and plot Price Ceiling Movement for different equity instruments | |
| Funds Screener Find actively-traded funds from around the world traded on over 30 global exchanges | |
| Portfolio Suggestion Get suggestions outside of your existing asset allocation including your own model portfolios | |
| Sync Your Broker Sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors. |