Correlation Between Lyxor UCITS and Lyxor Ibex
Can any of the company-specific risk be diversified away by investing in both Lyxor UCITS and Lyxor Ibex 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 UCITS and Lyxor Ibex into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor UCITS Ibex35 and Lyxor Ibex 35, you can compare the effects of market volatilities on Lyxor UCITS and Lyxor Ibex 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 UCITS with a short position of Lyxor Ibex. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor UCITS and Lyxor Ibex.
Diversification Opportunities for Lyxor UCITS and Lyxor Ibex
0.99 | Correlation Coefficient |
No risk reduction
The 3 months correlation between Lyxor and Lyxor is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS Ibex35 and Lyxor Ibex 35 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor Ibex 35 and Lyxor UCITS 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 UCITS Ibex35 are associated (or correlated) with Lyxor Ibex. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor Ibex 35 has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and Lyxor Ibex go up and down completely randomly.
Pair Corralation between Lyxor UCITS and Lyxor Ibex
Assuming the 90 days trading horizon Lyxor UCITS Ibex35 is expected to generate 0.51 times more return on investment than Lyxor Ibex. However, Lyxor UCITS Ibex35 is 1.97 times less risky than Lyxor Ibex. It trades about -0.06 of its potential returns per unit of risk. Lyxor Ibex 35 is currently generating about -0.08 per unit of risk. If you would invest 12,285 in Lyxor UCITS Ibex35 on September 2, 2024 and sell it today you would lose (165.00) from holding Lyxor UCITS Ibex35 or give up 1.34% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor UCITS Ibex35 vs. Lyxor Ibex 35
Performance |
| Timeline |
| Lyxor UCITS Ibex35 |
| Lyxor Ibex 35 |
Lyxor UCITS and Lyxor Ibex Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor UCITS and Lyxor Ibex
The main advantage of trading using opposite Lyxor UCITS and Lyxor Ibex positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS position performs unexpectedly, Lyxor Ibex 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 Ibex will offset losses from the drop in Lyxor Ibex's long position.The idea behind Lyxor UCITS Ibex35 and Lyxor Ibex 35 pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.
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