Correlation Between Lyxor UCITS and Invesco Markets
Can any of the company-specific risk be diversified away by investing in both Lyxor UCITS and Invesco Markets 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 Invesco Markets 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 Invesco Markets III, you can compare the effects of market volatilities on Lyxor UCITS and Invesco Markets 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 Invesco Markets. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor UCITS and Invesco Markets.
Diversification Opportunities for Lyxor UCITS and Invesco Markets
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Lyxor and Invesco is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS Stoxx and Invesco Markets III in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco Markets III 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 Invesco Markets. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco Markets III has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and Invesco Markets go up and down completely randomly.
Pair Corralation between Lyxor UCITS and Invesco Markets
Assuming the 90 days trading horizon Lyxor UCITS Stoxx is expected to generate 1.17 times more return on investment than Invesco Markets. However, Lyxor UCITS is 1.17 times more volatile than Invesco Markets III. It trades about 0.06 of its potential returns per unit of risk. Invesco Markets III is currently generating about 0.04 per unit of risk. If you would invest 4,040 in Lyxor UCITS Stoxx on August 26, 2024 and sell it today you would earn a total of 1,149 from holding Lyxor UCITS Stoxx or generate 28.44% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor UCITS Stoxx vs. Invesco Markets III
Performance |
| Timeline |
| Lyxor UCITS Stoxx |
| Invesco Markets III |
Lyxor UCITS and Invesco Markets Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor UCITS and Invesco Markets
The main advantage of trading using opposite Lyxor UCITS and Invesco Markets positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS position performs unexpectedly, Invesco Markets 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 Invesco Markets will offset losses from the drop in Invesco Markets' long position.| Lyxor UCITS vs. Lyxor Index Fund | Lyxor UCITS vs. Multi Units France | Lyxor UCITS vs. Lyxor UCITS MSCI | Lyxor UCITS vs. Multi Units France |
| Invesco Markets vs. Invesco FTSE RAFI | Invesco Markets vs. Invesco SP 500 | Invesco Markets vs. Invesco Markets III | Invesco Markets vs. Invesco Markets III |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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