Correlation Between Lyxor MSCI and IShares NASDAQ
Can any of the company-specific risk be diversified away by investing in both Lyxor MSCI and IShares NASDAQ 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 MSCI and IShares NASDAQ into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor MSCI Brazil and iShares NASDAQ 100, you can compare the effects of market volatilities on Lyxor MSCI and IShares NASDAQ 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 MSCI with a short position of IShares NASDAQ. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor MSCI and IShares NASDAQ.
Diversification Opportunities for Lyxor MSCI and IShares NASDAQ
0.26 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Lyxor and IShares is 0.26. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor MSCI Brazil and iShares NASDAQ 100 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares NASDAQ 100 and Lyxor MSCI 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 MSCI Brazil are associated (or correlated) with IShares NASDAQ. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares NASDAQ 100 has no effect on the direction of Lyxor MSCI i.e., Lyxor MSCI and IShares NASDAQ go up and down completely randomly.
Pair Corralation between Lyxor MSCI and IShares NASDAQ
Assuming the 90 days trading horizon Lyxor MSCI Brazil is expected to generate 0.99 times more return on investment than IShares NASDAQ. However, Lyxor MSCI Brazil is 1.01 times less risky than IShares NASDAQ. It trades about -0.04 of its potential returns per unit of risk. iShares NASDAQ 100 is currently generating about -0.11 per unit of risk. If you would invest 1,879 in Lyxor MSCI Brazil on December 1, 2024 and sell it today you would lose (23.00) from holding Lyxor MSCI Brazil or give up 1.22% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 95.65% |
| Values | Daily Returns |
Lyxor MSCI Brazil vs. iShares NASDAQ 100
Performance |
| Timeline |
| Lyxor MSCI Brazil |
| iShares NASDAQ 100 |
Lyxor MSCI and IShares NASDAQ Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor MSCI and IShares NASDAQ
The main advantage of trading using opposite Lyxor MSCI and IShares NASDAQ positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor MSCI position performs unexpectedly, IShares NASDAQ 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 IShares NASDAQ will offset losses from the drop in IShares NASDAQ's long position.| Lyxor MSCI vs. Ossiam STOXX Europe | Lyxor MSCI vs. VanEck Junior Gold | Lyxor MSCI vs. Xtrackers MSCI AC | Lyxor MSCI vs. HSBC MSCI CHINA |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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