Correlation Between Lyxor Japan and SPDR FTSE
Can any of the company-specific risk be diversified away by investing in both Lyxor Japan and SPDR FTSE 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 SPDR FTSE 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 SPDR FTSE UK, you can compare the effects of market volatilities on Lyxor Japan and SPDR FTSE 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 SPDR FTSE. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor Japan and SPDR FTSE.
Diversification Opportunities for Lyxor Japan and SPDR FTSE
-0.28 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Lyxor and SPDR is -0.28. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor Japan UCITS and SPDR FTSE UK in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR FTSE UK 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 SPDR FTSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR FTSE UK has no effect on the direction of Lyxor Japan i.e., Lyxor Japan and SPDR FTSE go up and down completely randomly.
Pair Corralation between Lyxor Japan and SPDR FTSE
Assuming the 90 days trading horizon Lyxor Japan UCITS is expected to generate 0.57 times more return on investment than SPDR FTSE. However, Lyxor Japan UCITS is 1.75 times less risky than SPDR FTSE. It trades about 0.08 of its potential returns per unit of risk. SPDR FTSE UK is currently generating about 0.02 per unit of risk. If you would invest 1,797,200 in Lyxor Japan UCITS on September 12, 2024 and sell it today you would earn a total of 870,300 from holding Lyxor Japan UCITS or generate 48.43% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 89.31% |
| Values | Daily Returns |
Lyxor Japan UCITS vs. SPDR FTSE UK
Performance |
| Timeline |
| Lyxor Japan UCITS |
| SPDR FTSE UK |
Lyxor Japan and SPDR FTSE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor Japan and SPDR FTSE
The main advantage of trading using opposite Lyxor Japan and SPDR FTSE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor Japan position performs unexpectedly, SPDR FTSE 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 SPDR FTSE will offset losses from the drop in SPDR FTSE's long position.| Lyxor Japan vs. Lyxor Japan UCITS | Lyxor Japan vs. Lyxor Euro Government | Lyxor Japan vs. Lyxor MSCI China |
| SPDR FTSE vs. SPDR MSCI Europe | SPDR FTSE vs. SPDR SP Utilities | SPDR FTSE vs. SPDR MSCI Europe | SPDR FTSE vs. SPDR MSCI EM |
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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.
Other Complementary Tools
| Portfolio File Import Quickly import all of your third-party portfolios from your local drive in csv format | |
| Portfolio Suggestion Get suggestions outside of your existing asset allocation including your own model portfolios | |
| Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas | |
| Equity Search Search for actively traded equities including funds and ETFs from over 30 global markets | |
| CEOs Directory Screen CEOs from public companies around the world |