Correlation Between Lyxor Japan and Vanguard FTSE
Can any of the company-specific risk be diversified away by investing in both Lyxor Japan and Vanguard 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 Vanguard 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 Vanguard FTSE Japan, you can compare the effects of market volatilities on Lyxor Japan and Vanguard 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 Vanguard FTSE. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor Japan and Vanguard FTSE.
Diversification Opportunities for Lyxor Japan and Vanguard FTSE
0.46 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Lyxor and Vanguard is 0.46. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor Japan UCITS and Vanguard FTSE Japan in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard FTSE Japan 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 Vanguard FTSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard FTSE Japan has no effect on the direction of Lyxor Japan i.e., Lyxor Japan and Vanguard FTSE go up and down completely randomly.
Pair Corralation between Lyxor Japan and Vanguard FTSE
Assuming the 90 days trading horizon Lyxor Japan UCITS is expected to under-perform the Vanguard FTSE. But the etf apears to be less risky and, when comparing its historical volatility, Lyxor Japan UCITS is 1.03 times less risky than Vanguard FTSE. The etf trades about -0.01 of its potential returns per unit of risk. The Vanguard FTSE Japan is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 3,122 in Vanguard FTSE Japan on August 30, 2024 and sell it today you would earn a total of 79.00 from holding Vanguard FTSE Japan or generate 2.53% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor Japan UCITS vs. Vanguard FTSE Japan
Performance |
| Timeline |
| Lyxor Japan UCITS |
| Vanguard FTSE Japan |
Lyxor Japan and Vanguard FTSE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor Japan and Vanguard FTSE
The main advantage of trading using opposite Lyxor Japan and Vanguard FTSE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor Japan position performs unexpectedly, Vanguard 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 Vanguard FTSE will offset losses from the drop in Vanguard FTSE's long position.| Lyxor Japan vs. UBSFund Solutions MSCI | Lyxor Japan vs. iShares Core SP | Lyxor Japan vs. Baloise Holding AG | Lyxor Japan vs. Autoneum Holding AG |
| Vanguard FTSE vs. Vanguard FTSE Emerging | Vanguard FTSE vs. Vanguard FTSE All World | Vanguard FTSE vs. Vanguard FTSE Developed |
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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.
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