Correlation Between Lyxor MSCI and UBS ETF
Can any of the company-specific risk be diversified away by investing in both Lyxor MSCI and UBS ETF 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 UBS ETF into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor MSCI AC and UBS ETF Gold, you can compare the effects of market volatilities on Lyxor MSCI and UBS ETF 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 UBS ETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor MSCI and UBS ETF.
Diversification Opportunities for Lyxor MSCI and UBS ETF
0.56 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Lyxor and UBS is 0.56. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor MSCI AC and UBS ETF Gold in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on UBS ETF Gold 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 AC are associated (or correlated) with UBS ETF. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of UBS ETF Gold has no effect on the direction of Lyxor MSCI i.e., Lyxor MSCI and UBS ETF go up and down completely randomly.
Pair Corralation between Lyxor MSCI and UBS ETF
Assuming the 90 days trading horizon Lyxor MSCI AC is expected to under-perform the UBS ETF. But the etf apears to be less risky and, when comparing its historical volatility, Lyxor MSCI AC is 1.24 times less risky than UBS ETF. The etf trades about -0.01 of its potential returns per unit of risk. The UBS ETF Gold is currently generating about 0.16 of returns per unit of risk over similar time horizon. If you would invest 7,005 in UBS ETF Gold on September 12, 2024 and sell it today you would earn a total of 241.00 from holding UBS ETF Gold or generate 3.44% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 95.65% |
| Values | Daily Returns |
Lyxor MSCI AC vs. UBS ETF Gold
Performance |
| Timeline |
| Lyxor MSCI AC |
| UBS ETF Gold |
Lyxor MSCI and UBS ETF Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor MSCI and UBS ETF
The main advantage of trading using opposite Lyxor MSCI and UBS ETF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor MSCI position performs unexpectedly, UBS ETF 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 UBS ETF will offset losses from the drop in UBS ETF's long position.The idea behind Lyxor MSCI AC and UBS ETF Gold pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.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 ETFs module to find actively traded Exchange Traded Funds (ETF) from around the world.
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