Correlation Between Lyxor SMI and IShares Corp
Can any of the company-specific risk be diversified away by investing in both Lyxor SMI and IShares Corp 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 SMI and IShares Corp into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor SMI Daily and iShares Corp Bond, you can compare the effects of market volatilities on Lyxor SMI and IShares Corp 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 SMI with a short position of IShares Corp. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor SMI and IShares Corp.
Diversification Opportunities for Lyxor SMI and IShares Corp
-0.32 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Lyxor and IShares is -0.32. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor SMI Daily and iShares Corp Bond in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Corp Bond and Lyxor SMI 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 SMI Daily are associated (or correlated) with IShares Corp. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Corp Bond has no effect on the direction of Lyxor SMI i.e., Lyxor SMI and IShares Corp go up and down completely randomly.
Pair Corralation between Lyxor SMI and IShares Corp
Assuming the 90 days trading horizon Lyxor SMI Daily is expected to under-perform the IShares Corp. In addition to that, Lyxor SMI is 2.25 times more volatile than iShares Corp Bond. It trades about -0.04 of its total potential returns per unit of risk. iShares Corp Bond is currently generating about 0.03 per unit of volatility. If you would invest 9,124 in iShares Corp Bond on August 27, 2024 and sell it today you would earn a total of 303.00 from holding iShares Corp Bond or generate 3.32% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 63.56% |
| Values | Daily Returns |
Lyxor SMI Daily vs. iShares Corp Bond
Performance |
| Timeline |
| Lyxor SMI Daily |
| iShares Corp Bond |
Lyxor SMI and IShares Corp Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor SMI and IShares Corp
The main advantage of trading using opposite Lyxor SMI and IShares Corp positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor SMI position performs unexpectedly, IShares Corp 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 Corp will offset losses from the drop in IShares Corp's long position.| Lyxor SMI vs. UBSFund Solutions MSCI | Lyxor SMI vs. iShares VII PLC | Lyxor SMI vs. Lyxor Japan UCITS | Lyxor SMI vs. iShares SP 500 |
| IShares Corp vs. UBSFund Solutions MSCI | IShares Corp vs. iShares VII PLC | IShares Corp vs. Lyxor Japan UCITS | IShares Corp vs. iShares SP 500 |
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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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