Correlation Between Lyxor MSCI and Lyxor Nasdaq
Can any of the company-specific risk be diversified away by investing in both Lyxor MSCI and Lyxor Nasdaq 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 Nasdaq into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor MSCI China and Lyxor Nasdaq 100, you can compare the effects of market volatilities on Lyxor MSCI and Lyxor Nasdaq 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 Nasdaq. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor MSCI and Lyxor Nasdaq.
Diversification Opportunities for Lyxor MSCI and Lyxor Nasdaq
0.07 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Lyxor and Lyxor is 0.07. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor MSCI China and Lyxor Nasdaq 100 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor Nasdaq 100 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 China are associated (or correlated) with Lyxor Nasdaq. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor Nasdaq 100 has no effect on the direction of Lyxor MSCI i.e., Lyxor MSCI and Lyxor Nasdaq go up and down completely randomly.
Pair Corralation between Lyxor MSCI and Lyxor Nasdaq
Assuming the 90 days trading horizon Lyxor MSCI is expected to generate 1.19 times less return on investment than Lyxor Nasdaq. In addition to that, Lyxor MSCI is 1.53 times more volatile than Lyxor Nasdaq 100. It trades about 0.06 of its total potential returns per unit of risk. Lyxor Nasdaq 100 is currently generating about 0.11 per unit of volatility. If you would invest 16,670 in Lyxor Nasdaq 100 on September 20, 2024 and sell it today you would earn a total of 4,030 from holding Lyxor Nasdaq 100 or generate 24.18% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor MSCI China vs. Lyxor Nasdaq 100
Performance |
| Timeline |
| Lyxor MSCI China |
| Lyxor Nasdaq 100 |
Lyxor MSCI and Lyxor Nasdaq Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor MSCI and Lyxor Nasdaq
The main advantage of trading using opposite Lyxor MSCI and Lyxor Nasdaq positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor MSCI position performs unexpectedly, Lyxor Nasdaq 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 Nasdaq will offset losses from the drop in Lyxor Nasdaq's long position.| Lyxor MSCI vs. Baloise Holding AG | Lyxor MSCI vs. 21Shares Polkadot ETP | Lyxor MSCI vs. UBS ETF MSCI | Lyxor MSCI vs. BB Biotech AG |
| Lyxor Nasdaq vs. Lyxor Japan UCITS | Lyxor Nasdaq vs. Lyxor Euro Government | Lyxor Nasdaq vs. Lyxor MSCI China |
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 Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.
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