Correlation Between Lyxor SMI and IShares JP
Can any of the company-specific risk be diversified away by investing in both Lyxor SMI and IShares JP 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 JP 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 JP Morgan, you can compare the effects of market volatilities on Lyxor SMI and IShares JP 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 JP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor SMI and IShares JP.
Diversification Opportunities for Lyxor SMI and IShares JP
-0.29 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Lyxor and IShares is -0.29. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor SMI Daily and iShares JP Morgan in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares JP Morgan 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 JP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares JP Morgan has no effect on the direction of Lyxor SMI i.e., Lyxor SMI and IShares JP go up and down completely randomly.
Pair Corralation between Lyxor SMI and IShares JP
Assuming the 90 days trading horizon Lyxor SMI Daily is expected to generate 4.68 times more return on investment than IShares JP. However, Lyxor SMI is 4.68 times more volatile than iShares JP Morgan. It trades about 0.23 of its potential returns per unit of risk. iShares JP Morgan is currently generating about 0.06 per unit of risk. If you would invest 199.00 in Lyxor SMI Daily on August 29, 2024 and sell it today you would earn a total of 21.00 from holding Lyxor SMI Daily or generate 10.55% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor SMI Daily vs. iShares JP Morgan
Performance |
| Timeline |
| Lyxor SMI Daily |
| iShares JP Morgan |
Lyxor SMI and IShares JP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor SMI and IShares JP
The main advantage of trading using opposite Lyxor SMI and IShares JP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor SMI position performs unexpectedly, IShares JP 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 JP will offset losses from the drop in IShares JP's long position.| Lyxor SMI vs. UBSFund Solutions MSCI | Lyxor SMI vs. iShares Core SP | Lyxor SMI vs. iShares Core MSCI | Lyxor SMI vs. Baloise Holding AG |
| IShares JP vs. iShares Corp Bond | IShares JP vs. iShares Emerging Asia | IShares JP vs. iShares MSCI Global | IShares JP vs. iShares VII PLC |
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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.
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