Correlation Between Lyxor UCITS and Lyxor Commodities
Can any of the company-specific risk be diversified away by investing in both Lyxor UCITS and Lyxor Commodities 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 Commodities into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor UCITS Stoxx and Lyxor Commodities RefinitivCoreCommodity, you can compare the effects of market volatilities on Lyxor UCITS and Lyxor Commodities 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 Commodities. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor UCITS and Lyxor Commodities.
Diversification Opportunities for Lyxor UCITS and Lyxor Commodities
0.22 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Lyxor and Lyxor is 0.22. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS Stoxx and Lyxor Commodities RefinitivCor in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor Commodities 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 Stoxx are associated (or correlated) with Lyxor Commodities. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor Commodities has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and Lyxor Commodities go up and down completely randomly.
Pair Corralation between Lyxor UCITS and Lyxor Commodities
Assuming the 90 days trading horizon Lyxor UCITS Stoxx is expected to under-perform the Lyxor Commodities. But the etf apears to be less risky and, when comparing its historical volatility, Lyxor UCITS Stoxx is 1.03 times less risky than Lyxor Commodities. The etf trades about -0.04 of its potential returns per unit of risk. The Lyxor Commodities RefinitivCoreCommodity is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest 2,163 in Lyxor Commodities RefinitivCoreCommodity on September 2, 2024 and sell it today you would earn a total of 140.00 from holding Lyxor Commodities RefinitivCoreCommodity or generate 6.47% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 98.48% |
| Values | Daily Returns |
Lyxor UCITS Stoxx vs. Lyxor Commodities RefinitivCor
Performance |
| Timeline |
| Lyxor UCITS Stoxx |
| Lyxor Commodities |
Lyxor UCITS and Lyxor Commodities Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor UCITS and Lyxor Commodities
The main advantage of trading using opposite Lyxor UCITS and Lyxor Commodities positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS position performs unexpectedly, Lyxor Commodities 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 Commodities will offset losses from the drop in Lyxor Commodities' long position.| Lyxor UCITS vs. Manitou BF SA | Lyxor UCITS vs. Granite 3x LVMH | Lyxor UCITS vs. 21Shares Polkadot ETP | Lyxor UCITS vs. Ekinops SA |
| Lyxor Commodities vs. Lyxor MSCI Brazil | Lyxor Commodities vs. Multi Units France | Lyxor Commodities vs. Lyxor UCITS Stoxx | Lyxor Commodities vs. Multi Units France |
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 Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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