Correlation Between Lyxor Index and Lyxor TIPS
Can any of the company-specific risk be diversified away by investing in both Lyxor Index and Lyxor TIPS 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 Index and Lyxor TIPS into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor Index Fund and Lyxor TIPS DR, you can compare the effects of market volatilities on Lyxor Index and Lyxor TIPS 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 Index with a short position of Lyxor TIPS. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor Index and Lyxor TIPS.
Diversification Opportunities for Lyxor Index and Lyxor TIPS
0.57 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Lyxor and Lyxor is 0.57. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor Index Fund and Lyxor TIPS DR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor TIPS DR and Lyxor Index 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 Index Fund are associated (or correlated) with Lyxor TIPS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor TIPS DR has no effect on the direction of Lyxor Index i.e., Lyxor Index and Lyxor TIPS go up and down completely randomly.
Pair Corralation between Lyxor Index and Lyxor TIPS
Assuming the 90 days trading horizon Lyxor Index is expected to generate 7.23 times less return on investment than Lyxor TIPS. In addition to that, Lyxor Index is 2.05 times more volatile than Lyxor TIPS DR. It trades about 0.02 of its total potential returns per unit of risk. Lyxor TIPS DR is currently generating about 0.25 per unit of volatility. If you would invest 10,320 in Lyxor TIPS DR on September 2, 2024 and sell it today you would earn a total of 297.00 from holding Lyxor TIPS DR or generate 2.88% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 57.14% |
| Values | Daily Returns |
Lyxor Index Fund vs. Lyxor TIPS DR
Performance |
| Timeline |
| Lyxor Index Fund |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Weak
| Lyxor TIPS DR |
Lyxor Index and Lyxor TIPS Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor Index and Lyxor TIPS
The main advantage of trading using opposite Lyxor Index and Lyxor TIPS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor Index position performs unexpectedly, Lyxor TIPS 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 TIPS will offset losses from the drop in Lyxor TIPS's long position.| Lyxor Index vs. UBS Fund Solutions | Lyxor Index vs. Vanguard Funds Public | Lyxor Index vs. iShares Core SP | Lyxor Index vs. iShares Core MSCI |
| Lyxor TIPS vs. UBS Fund Solutions | Lyxor TIPS vs. Vanguard Funds Public | Lyxor TIPS vs. iShares Core SP | Lyxor TIPS vs. iShares Core MSCI |
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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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