Correlation Between Lyxor Japan and Xtrackers Russell
Can any of the company-specific risk be diversified away by investing in both Lyxor Japan and Xtrackers Russell 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 Xtrackers Russell 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 Xtrackers Russell 2000, you can compare the effects of market volatilities on Lyxor Japan and Xtrackers Russell 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 Xtrackers Russell. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor Japan and Xtrackers Russell.
Diversification Opportunities for Lyxor Japan and Xtrackers Russell
0.11 | Correlation Coefficient |
Average diversification
The 3 months correlation between Lyxor and Xtrackers is 0.11. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor Japan UCITS and Xtrackers Russell 2000 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Xtrackers Russell 2000 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 Xtrackers Russell. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Xtrackers Russell 2000 has no effect on the direction of Lyxor Japan i.e., Lyxor Japan and Xtrackers Russell go up and down completely randomly.
Pair Corralation between Lyxor Japan and Xtrackers Russell
Assuming the 90 days trading horizon Lyxor Japan is expected to generate 8.61 times less return on investment than Xtrackers Russell. But when comparing it to its historical volatility, Lyxor Japan UCITS is 3.98 times less risky than Xtrackers Russell. It trades about 0.1 of its potential returns per unit of risk. Xtrackers Russell 2000 is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest 27,165 in Xtrackers Russell 2000 on September 5, 2024 and sell it today you would earn a total of 4,390 from holding Xtrackers Russell 2000 or generate 16.16% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor Japan UCITS vs. Xtrackers Russell 2000
Performance |
| Timeline |
| Lyxor Japan UCITS |
| Xtrackers Russell 2000 |
Lyxor Japan and Xtrackers Russell Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor Japan and Xtrackers Russell
The main advantage of trading using opposite Lyxor Japan and Xtrackers Russell positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor Japan position performs unexpectedly, Xtrackers Russell 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 Xtrackers Russell will offset losses from the drop in Xtrackers Russell's long position.| Lyxor Japan vs. Lyxor Japan UCITS | Lyxor Japan vs. Lyxor Euro Government | Lyxor Japan vs. Lyxor MSCI China |
| Xtrackers Russell vs. Vanguard SP 500 | Xtrackers Russell vs. iShares Core SP | Xtrackers Russell vs. Lyxor Japan UCITS | Xtrackers Russell vs. iShares Core MSCI |
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 Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
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