Correlation Between Lyxor MSCI and Invesco MSCI
Can any of the company-specific risk be diversified away by investing in both Lyxor MSCI and Invesco MSCI 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 Invesco MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor MSCI India and Invesco MSCI USA, you can compare the effects of market volatilities on Lyxor MSCI and Invesco MSCI 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 Invesco MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor MSCI and Invesco MSCI.
Diversification Opportunities for Lyxor MSCI and Invesco MSCI
-0.66 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Lyxor and Invesco is -0.66. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor MSCI India and Invesco MSCI USA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco MSCI USA 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 India are associated (or correlated) with Invesco MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco MSCI USA has no effect on the direction of Lyxor MSCI i.e., Lyxor MSCI and Invesco MSCI go up and down completely randomly.
Pair Corralation between Lyxor MSCI and Invesco MSCI
Assuming the 90 days trading horizon Lyxor MSCI India is expected to generate 1.97 times more return on investment than Invesco MSCI. However, Lyxor MSCI is 1.97 times more volatile than Invesco MSCI USA. It trades about 0.11 of its potential returns per unit of risk. Invesco MSCI USA is currently generating about 0.06 per unit of risk. If you would invest 3,307 in Lyxor MSCI India on September 12, 2024 and sell it today you would earn a total of 70.00 from holding Lyxor MSCI India or generate 2.12% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor MSCI India vs. Invesco MSCI USA
Performance |
| Timeline |
| Lyxor MSCI India |
| Invesco MSCI USA |
Lyxor MSCI and Invesco MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor MSCI and Invesco MSCI
The main advantage of trading using opposite Lyxor MSCI and Invesco MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor MSCI position performs unexpectedly, Invesco MSCI 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 Invesco MSCI will offset losses from the drop in Invesco MSCI's long position.The idea behind Lyxor MSCI India and Invesco MSCI USA 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.| Invesco MSCI vs. Baloise Holding AG | Invesco MSCI vs. 21Shares Polkadot ETP | Invesco MSCI vs. UBS ETF MSCI | Invesco MSCI vs. BB Biotech AG |
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 Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.
Other Complementary Tools
| Portfolio Volatility Check portfolio volatility and analyze historical return density to properly model market risk | |
| Equity Forecasting Use basic forecasting models to generate price predictions and determine price momentum | |
| Investing Opportunities Build portfolios using our predefined set of ideas and optimize them against your investing preferences | |
| Competition Analyzer Analyze and compare many basic indicators for a group of related or unrelated entities | |
| Sectors List of equity sectors categorizing publicly traded companies based on their primary business activities |