Correlation Between Lyxor UCITS and Lyxor BofAML
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By analyzing existing cross correlation between Lyxor UCITS EuroMTS and Lyxor BofAML USD, you can compare the effects of market volatilities on Lyxor UCITS and Lyxor BofAML 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 UCITS with a short position of Lyxor BofAML. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor UCITS and Lyxor BofAML.
Diversification Opportunities for Lyxor UCITS and Lyxor BofAML
0.74 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Lyxor and Lyxor is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS EuroMTS and Lyxor BofAML USD in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor BofAML USD and Lyxor UCITS 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 UCITS EuroMTS are associated (or correlated) with Lyxor BofAML. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor BofAML USD has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and Lyxor BofAML go up and down completely randomly.
Pair Corralation between Lyxor UCITS and Lyxor BofAML
Assuming the 90 days trading horizon Lyxor UCITS is expected to generate 2.12 times less return on investment than Lyxor BofAML. But when comparing it to its historical volatility, Lyxor UCITS EuroMTS is 3.57 times less risky than Lyxor BofAML. It trades about 0.52 of its potential returns per unit of risk. Lyxor BofAML USD is currently generating about 0.31 of returns per unit of risk over similar time horizon. If you would invest 7,550 in Lyxor BofAML USD on September 2, 2024 and sell it today you would earn a total of 120.00 from holding Lyxor BofAML USD or generate 1.59% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor UCITS EuroMTS vs. Lyxor BofAML USD
Performance |
| Timeline |
| Lyxor UCITS EuroMTS |
| Lyxor BofAML USD |
Lyxor UCITS and Lyxor BofAML Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor UCITS and Lyxor BofAML
The main advantage of trading using opposite Lyxor UCITS and Lyxor BofAML positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS position performs unexpectedly, Lyxor BofAML 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 Lyxor BofAML will offset losses from the drop in Lyxor BofAML's long position.| Lyxor UCITS vs. Lyxor Fed Funds | Lyxor UCITS vs. Lyxor BofAML USD | Lyxor UCITS vs. Lyxor 1 TecDAX | Lyxor UCITS vs. Lyxor TIPS DR |
| Lyxor BofAML vs. UBS Fund Solutions | Lyxor BofAML vs. Vanguard Funds Public | Lyxor BofAML vs. iShares Core SP | Lyxor BofAML 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 Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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