Correlation Between Lyxor UCITS and Lyxor CAC
Can any of the company-specific risk be diversified away by investing in both Lyxor UCITS and Lyxor CAC 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 CAC into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor UCITS FTSE and Lyxor CAC 40, you can compare the effects of market volatilities on Lyxor UCITS and Lyxor CAC 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 CAC. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor UCITS and Lyxor CAC.
Diversification Opportunities for Lyxor UCITS and Lyxor CAC
0.65 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Lyxor and Lyxor is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS FTSE and Lyxor CAC 40 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor CAC 40 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 FTSE are associated (or correlated) with Lyxor CAC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor CAC 40 has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and Lyxor CAC go up and down completely randomly.
Pair Corralation between Lyxor UCITS and Lyxor CAC
Assuming the 90 days trading horizon Lyxor UCITS FTSE is expected to under-perform the Lyxor CAC. In addition to that, Lyxor UCITS is 1.14 times more volatile than Lyxor CAC 40. It trades about -0.27 of its total potential returns per unit of risk. Lyxor CAC 40 is currently generating about -0.19 per unit of volatility. If you would invest 3,592 in Lyxor CAC 40 on August 24, 2024 and sell it today you would lose (133.00) from holding Lyxor CAC 40 or give up 3.7% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor UCITS FTSE vs. Lyxor CAC 40
Performance |
| Timeline |
| Lyxor UCITS FTSE |
| Lyxor CAC 40 |
Lyxor UCITS and Lyxor CAC Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor UCITS and Lyxor CAC
The main advantage of trading using opposite Lyxor UCITS and Lyxor CAC positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS position performs unexpectedly, Lyxor CAC 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 CAC will offset losses from the drop in Lyxor CAC's long position.| Lyxor UCITS vs. Amundi ETF MSCI | Lyxor UCITS vs. Manitou BF SA | Lyxor UCITS vs. Ossiam Minimum Variance | Lyxor UCITS vs. Granite 3x LVMH |
| Lyxor CAC vs. Amundi ETF MSCI | Lyxor CAC vs. Manitou BF SA | Lyxor CAC vs. Ossiam Minimum Variance | Lyxor CAC vs. Granite 3x LVMH |
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 Stocks Directory module to find actively traded stocks across global markets.
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