Correlation Between Lyxor Japan and Invesco MSCI
Can any of the company-specific risk be diversified away by investing in both Lyxor Japan 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 Japan 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 Japan UCITS and Invesco MSCI USA, you can compare the effects of market volatilities on Lyxor Japan 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 Japan with a short position of Invesco MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor Japan and Invesco MSCI.
Diversification Opportunities for Lyxor Japan and Invesco MSCI
0.75 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Lyxor and Invesco is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor Japan UCITS 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 Japan 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 Japan UCITS 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 Japan i.e., Lyxor Japan and Invesco MSCI go up and down completely randomly.
Pair Corralation between Lyxor Japan and Invesco MSCI
Assuming the 90 days trading horizon Lyxor Japan UCITS is expected to under-perform the Invesco MSCI. In addition to that, Lyxor Japan is 1.4 times more volatile than Invesco MSCI USA. It trades about -0.02 of its total potential returns per unit of risk. Invesco MSCI USA is currently generating about 0.06 per unit of volatility. If you would invest 9,126 in Invesco MSCI USA on September 12, 2024 and sell it today you would earn a total of 55.00 from holding Invesco MSCI USA or generate 0.6% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor Japan UCITS vs. Invesco MSCI USA
Performance |
| Timeline |
| Lyxor Japan UCITS |
| Invesco MSCI USA |
Lyxor Japan and Invesco MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor Japan and Invesco MSCI
The main advantage of trading using opposite Lyxor Japan and Invesco MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor Japan 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.| Lyxor Japan vs. Lyxor Japan UCITS | Lyxor Japan vs. Lyxor Euro Government | Lyxor Japan vs. Lyxor MSCI China |
| 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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