Correlation Between Lyxor MSCI and SPDR SP
Can any of the company-specific risk be diversified away by investing in both Lyxor MSCI and SPDR SP 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 SPDR SP 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 SPDR SP Technology, you can compare the effects of market volatilities on Lyxor MSCI and SPDR SP 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 SPDR SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor MSCI and SPDR SP.
Diversification Opportunities for Lyxor MSCI and SPDR SP
-0.59 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Lyxor and SPDR is -0.59. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor MSCI Brazil and SPDR SP Technology in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR SP Technology 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 SPDR SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR SP Technology has no effect on the direction of Lyxor MSCI i.e., Lyxor MSCI and SPDR SP go up and down completely randomly.
Pair Corralation between Lyxor MSCI and SPDR SP
Assuming the 90 days trading horizon Lyxor MSCI Brazil is expected to under-perform the SPDR SP. In addition to that, Lyxor MSCI is 1.02 times more volatile than SPDR SP Technology. It trades about -0.06 of its total potential returns per unit of risk. SPDR SP Technology is currently generating about 0.08 per unit of volatility. If you would invest 9,543 in SPDR SP Technology on September 2, 2024 and sell it today you would earn a total of 2,555 from holding SPDR SP Technology or generate 26.77% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor MSCI Brazil vs. SPDR SP Technology
Performance |
| Timeline |
| Lyxor MSCI Brazil |
| SPDR SP Technology |
Lyxor MSCI and SPDR SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor MSCI and SPDR SP
The main advantage of trading using opposite Lyxor MSCI and SPDR SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor MSCI position performs unexpectedly, SPDR SP 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 SP will offset losses from the drop in SPDR SP's long position.| Lyxor MSCI vs. Procimmo Real Estate | Lyxor MSCI vs. SPDR Dow Jones | Lyxor MSCI vs. Baloise Holding AG | Lyxor MSCI vs. Autoneum Holding AG |
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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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