Correlation Between Lyxor BofAML and Lyxor Index
Can any of the company-specific risk be diversified away by investing in both Lyxor BofAML and Lyxor Index 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 BofAML and Lyxor Index into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor BofAML USD and Lyxor Index Fund, you can compare the effects of market volatilities on Lyxor BofAML and Lyxor Index 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 Index. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor BofAML and Lyxor Index.
Diversification Opportunities for Lyxor BofAML and Lyxor Index
0.26 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Lyxor and Lyxor is 0.26. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor BofAML USD and Lyxor Index Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor Index Fund 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 Index. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor Index Fund has no effect on the direction of Lyxor BofAML i.e., Lyxor BofAML and Lyxor Index go up and down completely randomly.
Pair Corralation between Lyxor BofAML and Lyxor Index
Assuming the 90 days trading horizon Lyxor BofAML is expected to generate 1.36 times less return on investment than Lyxor Index. But when comparing it to its historical volatility, Lyxor BofAML USD is 3.85 times less risky than Lyxor Index. It trades about 0.31 of its potential returns per unit of risk. Lyxor Index Fund is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 6,591 in Lyxor Index Fund on September 2, 2024 and sell it today you would earn a total of 75.00 from holding Lyxor Index Fund or generate 1.14% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 54.55% |
| Values | Daily Returns |
Lyxor BofAML USD vs. Lyxor Index Fund
Performance |
| Timeline |
| Lyxor BofAML USD |
| Lyxor Index Fund |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Weak
Lyxor BofAML and Lyxor Index Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor BofAML and Lyxor Index
The main advantage of trading using opposite Lyxor BofAML and Lyxor Index positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor BofAML position performs unexpectedly, Lyxor Index 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 Index will offset losses from the drop in Lyxor Index's long position.| Lyxor BofAML vs. UBS Fund Solutions | Lyxor BofAML vs. Vanguard Funds Public | Lyxor BofAML vs. iShares Core SP | Lyxor BofAML vs. iShares Core MSCI |
| Lyxor Index vs. UBS Fund Solutions | Lyxor Index vs. Vanguard Funds Public | Lyxor Index vs. iShares Core SP | Lyxor Index vs. iShares Core MSCI |
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 Balance Of Power module to check stock momentum by analyzing Balance Of Power indicator and other technical ratios.
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