Correlation Between Lyxor SMI and Vanguard USD
Can any of the company-specific risk be diversified away by investing in both Lyxor SMI and Vanguard USD 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 Vanguard USD 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 Vanguard USD Corporate, you can compare the effects of market volatilities on Lyxor SMI and Vanguard USD 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 Vanguard USD. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor SMI and Vanguard USD.
Diversification Opportunities for Lyxor SMI and Vanguard USD
0.72 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Lyxor and Vanguard is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor SMI Daily and Vanguard USD Corporate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard USD Corporate 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 Vanguard USD. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard USD Corporate has no effect on the direction of Lyxor SMI i.e., Lyxor SMI and Vanguard USD go up and down completely randomly.
Pair Corralation between Lyxor SMI and Vanguard USD
Assuming the 90 days trading horizon Lyxor SMI Daily is expected to generate 5.1 times more return on investment than Vanguard USD. However, Lyxor SMI is 5.1 times more volatile than Vanguard USD Corporate. It trades about 0.13 of its potential returns per unit of risk. Vanguard USD Corporate is currently generating about 0.33 per unit of risk. If you would invest 201.00 in Lyxor SMI Daily on August 30, 2024 and sell it today you would earn a total of 18.00 from holding Lyxor SMI Daily or generate 8.96% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 97.73% |
| Values | Daily Returns |
Lyxor SMI Daily vs. Vanguard USD Corporate
Performance |
| Timeline |
| Lyxor SMI Daily |
| Vanguard USD Corporate |
Lyxor SMI and Vanguard USD Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor SMI and Vanguard USD
The main advantage of trading using opposite Lyxor SMI and Vanguard USD positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor SMI position performs unexpectedly, Vanguard USD 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 Vanguard USD will offset losses from the drop in Vanguard USD's long position.| Lyxor SMI vs. UBSFund Solutions MSCI | Lyxor SMI vs. iShares Core SP | Lyxor SMI vs. Baloise Holding AG | Lyxor SMI vs. Autoneum Holding AG |
| Vanguard USD vs. Vanguard FTSE Emerging | Vanguard USD vs. Vanguard USD Emerging | Vanguard USD vs. Vanguard FTSE Developed | Vanguard USD vs. Vanguard FTSE Japan |
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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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