Correlation Between Lyxor MSCI and Vanguard USD
Can any of the company-specific risk be diversified away by investing in both Lyxor MSCI and Vanguard USD 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 Vanguard USD 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 Vanguard USD Treasury, you can compare the effects of market volatilities on Lyxor MSCI and Vanguard USD 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 Vanguard USD. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor MSCI and Vanguard USD.
Diversification Opportunities for Lyxor MSCI and Vanguard USD
-0.41 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Lyxor and Vanguard is -0.41. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor MSCI AC and Vanguard USD Treasury in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard USD Treasury 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 Vanguard USD. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard USD Treasury has no effect on the direction of Lyxor MSCI i.e., Lyxor MSCI and Vanguard USD go up and down completely randomly.
Pair Corralation between Lyxor MSCI and Vanguard USD
Assuming the 90 days trading horizon Lyxor MSCI AC is expected to under-perform the Vanguard USD. In addition to that, Lyxor MSCI is 3.23 times more volatile than Vanguard USD Treasury. It trades about -0.13 of its total potential returns per unit of risk. Vanguard USD Treasury is currently generating about 0.53 per unit of volatility. If you would invest 2,229 in Vanguard USD Treasury on September 4, 2024 and sell it today you would earn a total of 74.00 from holding Vanguard USD Treasury or generate 3.32% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor MSCI AC vs. Vanguard USD Treasury
Performance |
| Timeline |
| Lyxor MSCI AC |
| Vanguard USD Treasury |
Lyxor MSCI and Vanguard USD Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor MSCI and Vanguard USD
The main advantage of trading using opposite Lyxor MSCI and Vanguard USD positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor MSCI position performs unexpectedly, Vanguard USD 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 Vanguard USD will offset losses from the drop in Vanguard USD's long position.| Lyxor MSCI vs. UBSFund Solutions MSCI | Lyxor MSCI vs. Vanguard SP 500 | Lyxor MSCI vs. iShares VII PLC | Lyxor MSCI vs. iShares Core SP |
| Vanguard USD vs. UBSFund Solutions MSCI | Vanguard USD vs. Vanguard SP 500 | Vanguard USD vs. iShares VII PLC | Vanguard USD vs. iShares Core SP |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
Other Complementary Tools
| Price Transformation Use Price Transformation models to analyze the depth of different equity instruments across global markets | |
| Content Syndication Quickly integrate customizable finance content to your own investment portal | |
| Price Ceiling Movement Calculate and plot Price Ceiling Movement for different equity instruments | |
| Latest Portfolios Quick portfolio dashboard that showcases your latest portfolios | |
| Price Exposure Probability Analyze equity upside and downside potential for a given time horizon across multiple markets |