Correlation Between Lyxor UCITS and Lyxor 10Y
Can any of the company-specific risk be diversified away by investing in both Lyxor UCITS and Lyxor 10Y 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 10Y 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 10Y Treasury, you can compare the effects of market volatilities on Lyxor UCITS and Lyxor 10Y 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 10Y. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor UCITS and Lyxor 10Y.
Diversification Opportunities for Lyxor UCITS and Lyxor 10Y
-0.44 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Lyxor and Lyxor is -0.44. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS Stoxx and Lyxor 10Y Treasury in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor 10Y Treasury 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 10Y. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor 10Y Treasury has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and Lyxor 10Y go up and down completely randomly.
Pair Corralation between Lyxor UCITS and Lyxor 10Y
Assuming the 90 days trading horizon Lyxor UCITS Stoxx is expected to generate 0.79 times more return on investment than Lyxor 10Y. However, Lyxor UCITS Stoxx is 1.27 times less risky than Lyxor 10Y. It trades about 0.08 of its potential returns per unit of risk. Lyxor 10Y Treasury is currently generating about 0.04 per unit of risk. If you would invest 3,919 in Lyxor UCITS Stoxx on September 16, 2024 and sell it today you would earn a total of 1,463 from holding Lyxor UCITS Stoxx or generate 37.33% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor UCITS Stoxx vs. Lyxor 10Y Treasury
Performance |
| Timeline |
| Lyxor UCITS Stoxx |
| Lyxor 10Y Treasury |
Lyxor UCITS and Lyxor 10Y Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor UCITS and Lyxor 10Y
The main advantage of trading using opposite Lyxor UCITS and Lyxor 10Y positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS position performs unexpectedly, Lyxor 10Y 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 10Y will offset losses from the drop in Lyxor 10Y's long position.| Lyxor UCITS vs. Lyxor UCITS Japan | Lyxor UCITS vs. Lyxor UCITS Japan | Lyxor UCITS vs. Amundi CAC 40 | Lyxor UCITS vs. Gold Bullion Securities |
| Lyxor 10Y vs. Lyxor UCITS Japan | Lyxor 10Y vs. Lyxor UCITS Japan | Lyxor 10Y vs. Lyxor UCITS Stoxx | Lyxor 10Y vs. Amundi CAC 40 |
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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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