Correlation Between Lyxor FTSE and Lyxor UCITS
Can any of the company-specific risk be diversified away by investing in both Lyxor FTSE and Lyxor UCITS 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 FTSE and Lyxor UCITS into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor FTSE MIB and Lyxor UCITS Daily, you can compare the effects of market volatilities on Lyxor FTSE and Lyxor UCITS 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 FTSE with a short position of Lyxor UCITS. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor FTSE and Lyxor UCITS.
Diversification Opportunities for Lyxor FTSE and Lyxor UCITS
-0.75 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Lyxor and Lyxor is -0.75. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor FTSE MIB and Lyxor UCITS Daily in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor UCITS Daily and Lyxor FTSE 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 FTSE MIB are associated (or correlated) with Lyxor UCITS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor UCITS Daily has no effect on the direction of Lyxor FTSE i.e., Lyxor FTSE and Lyxor UCITS go up and down completely randomly.
Pair Corralation between Lyxor FTSE and Lyxor UCITS
Assuming the 90 days trading horizon Lyxor FTSE MIB is expected to generate 0.45 times more return on investment than Lyxor UCITS. However, Lyxor FTSE MIB is 2.2 times less risky than Lyxor UCITS. It trades about -0.05 of its potential returns per unit of risk. Lyxor UCITS Daily is currently generating about -0.12 per unit of risk. If you would invest 3,472 in Lyxor FTSE MIB on September 1, 2024 and sell it today you would lose (44.00) from holding Lyxor FTSE MIB or give up 1.27% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 95.65% |
| Values | Daily Returns |
Lyxor FTSE MIB vs. Lyxor UCITS Daily
Performance |
| Timeline |
| Lyxor FTSE MIB |
| Lyxor UCITS Daily |
Lyxor FTSE and Lyxor UCITS Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor FTSE and Lyxor UCITS
The main advantage of trading using opposite Lyxor FTSE and Lyxor UCITS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor FTSE position performs unexpectedly, Lyxor UCITS 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 UCITS will offset losses from the drop in Lyxor UCITS's long position.| Lyxor FTSE vs. Lyxor MSCI China | Lyxor FTSE vs. Manitou BF SA | Lyxor FTSE vs. Ossiam Minimum Variance | Lyxor FTSE vs. Granite 3x LVMH |
| Lyxor UCITS vs. Lyxor UCITS CAC | Lyxor UCITS vs. Lyxor UCITS Stoxx | Lyxor UCITS vs. Lyxor SP 500 | Lyxor UCITS vs. Lyxor UCITS Daily |
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 Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
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