Correlation Between Lyxor BofAML and Lyxor Fed
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By analyzing existing cross correlation between Lyxor BofAML USD and Lyxor Fed Funds, you can compare the effects of market volatilities on Lyxor BofAML and Lyxor Fed 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 BofAML with a short position of Lyxor Fed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor BofAML and Lyxor Fed.
Diversification Opportunities for Lyxor BofAML and Lyxor Fed
0.43 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Lyxor and Lyxor is 0.43. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor BofAML USD and Lyxor Fed Funds in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor Fed Funds and Lyxor BofAML 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 BofAML USD are associated (or correlated) with Lyxor Fed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor Fed Funds has no effect on the direction of Lyxor BofAML i.e., Lyxor BofAML and Lyxor Fed go up and down completely randomly.
Pair Corralation between Lyxor BofAML and Lyxor Fed
Assuming the 90 days trading horizon Lyxor BofAML is expected to generate 2.05 times less return on investment than Lyxor Fed. But when comparing it to its historical volatility, Lyxor BofAML USD is 1.21 times less risky than Lyxor Fed. It trades about 0.1 of its potential returns per unit of risk. Lyxor Fed Funds is currently generating about 0.17 of returns per unit of risk over similar time horizon. If you would invest 9,866 in Lyxor Fed Funds on August 27, 2024 and sell it today you would earn a total of 568.00 from holding Lyxor Fed Funds or generate 5.76% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 98.84% |
| Values | Daily Returns |
Lyxor BofAML USD vs. Lyxor Fed Funds
Performance |
| Timeline |
| Lyxor BofAML USD |
| Lyxor Fed Funds |
Lyxor BofAML and Lyxor Fed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor BofAML and Lyxor Fed
The main advantage of trading using opposite Lyxor BofAML and Lyxor Fed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor BofAML position performs unexpectedly, Lyxor Fed 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 Lyxor Fed will offset losses from the drop in Lyxor Fed's long position.| Lyxor BofAML vs. Lyxor Fed Funds | Lyxor BofAML vs. Lyxor Index Fund | Lyxor BofAML vs. Lyxor 1 TecDAX | Lyxor BofAML vs. Lyxor Index Fund |
| Lyxor Fed vs. UBS Fund Solutions | Lyxor Fed vs. Xtrackers II | Lyxor Fed vs. Xtrackers Nikkei 225 | Lyxor Fed 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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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