Correlation Between Lyxor UCITS and SPDR MSCI
Can any of the company-specific risk be diversified away by investing in both Lyxor UCITS and SPDR MSCI 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 SPDR MSCI 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 SPDR MSCI Europe, you can compare the effects of market volatilities on Lyxor UCITS and SPDR MSCI 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 SPDR MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor UCITS and SPDR MSCI.
Diversification Opportunities for Lyxor UCITS and SPDR MSCI
0.64 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Lyxor and SPDR is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS FTSE and SPDR MSCI Europe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR MSCI Europe 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 SPDR MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR MSCI Europe has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and SPDR MSCI go up and down completely randomly.
Pair Corralation between Lyxor UCITS and SPDR MSCI
Assuming the 90 days trading horizon Lyxor UCITS is expected to generate 1.15 times less return on investment than SPDR MSCI. In addition to that, Lyxor UCITS is 1.5 times more volatile than SPDR MSCI Europe. It trades about 0.03 of its total potential returns per unit of risk. SPDR MSCI Europe is currently generating about 0.05 per unit of volatility. If you would invest 19,280 in SPDR MSCI Europe on August 24, 2024 and sell it today you would earn a total of 2,070 from holding SPDR MSCI Europe or generate 10.74% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor UCITS FTSE vs. SPDR MSCI Europe
Performance |
| Timeline |
| Lyxor UCITS FTSE |
| SPDR MSCI Europe |
Lyxor UCITS and SPDR MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor UCITS and SPDR MSCI
The main advantage of trading using opposite Lyxor UCITS and SPDR MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS position performs unexpectedly, SPDR MSCI 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 SPDR MSCI will offset losses from the drop in SPDR MSCI'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 |
| SPDR MSCI vs. SSgA SPDR ETFs | SPDR MSCI vs. SPDR MSCI Europe | SPDR MSCI vs. SPDR MSCI Europe | SPDR MSCI vs. SPDR MSCI Europe |
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 Portfolio Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.
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