Correlation Between Lyxor UCITS and IShares SP
Can any of the company-specific risk be diversified away by investing in both Lyxor UCITS and IShares SP 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 IShares SP 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 iShares SP 500, you can compare the effects of market volatilities on Lyxor UCITS and IShares SP 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 IShares SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor UCITS and IShares SP.
Diversification Opportunities for Lyxor UCITS and IShares SP
0.02 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Lyxor and IShares is 0.02. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS Stoxx and iShares SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares SP 500 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 IShares SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares SP 500 has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and IShares SP go up and down completely randomly.
Pair Corralation between Lyxor UCITS and IShares SP
Assuming the 90 days trading horizon Lyxor UCITS is expected to generate 1.71 times less return on investment than IShares SP. In addition to that, Lyxor UCITS is 1.06 times more volatile than iShares SP 500. It trades about 0.06 of its total potential returns per unit of risk. iShares SP 500 is currently generating about 0.11 per unit of volatility. If you would invest 3,837 in iShares SP 500 on August 28, 2024 and sell it today you would earn a total of 2,139 from holding iShares SP 500 or generate 55.75% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor UCITS Stoxx vs. iShares SP 500
Performance |
| Timeline |
| Lyxor UCITS Stoxx |
| iShares SP 500 |
Lyxor UCITS and IShares SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor UCITS and IShares SP
The main advantage of trading using opposite Lyxor UCITS and IShares SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS position performs unexpectedly, IShares SP 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 IShares SP will offset losses from the drop in IShares SP's long position.| Lyxor UCITS vs. Lyxor Japan UCITS | Lyxor UCITS vs. Lyxor Euro Government | Lyxor UCITS vs. Lyxor MSCI China |
| IShares SP vs. UBSFund Solutions MSCI | IShares SP vs. iShares VII PLC | IShares SP vs. Lyxor UCITS Stoxx | IShares SP vs. iShares JP Morgan |
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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.
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