Correlation Between Lyxor UCITS and SPDR MSCI
Can any of the company-specific risk be diversified away by investing in both Lyxor UCITS and SPDR MSCI 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 SPDR MSCI 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 SPDR MSCI World, you can compare the effects of market volatilities on Lyxor UCITS and SPDR MSCI 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 SPDR MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor UCITS and SPDR MSCI.
Diversification Opportunities for Lyxor UCITS and SPDR MSCI
0.04 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Lyxor and SPDR is 0.04. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS Stoxx and SPDR MSCI World in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR MSCI World 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 SPDR MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR MSCI World has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and SPDR MSCI go up and down completely randomly.
Pair Corralation between Lyxor UCITS and SPDR MSCI
Assuming the 90 days trading horizon Lyxor UCITS Stoxx is expected to under-perform the SPDR MSCI. But the etf apears to be less risky and, when comparing its historical volatility, Lyxor UCITS Stoxx is 1.48 times less risky than SPDR MSCI. The etf trades about -0.03 of its potential returns per unit of risk. The SPDR MSCI World is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 15,936 in SPDR MSCI World on September 3, 2024 and sell it today you would earn a total of 1,792 from holding SPDR MSCI World or generate 11.24% 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. SPDR MSCI World
Performance |
| Timeline |
| Lyxor UCITS Stoxx |
| SPDR MSCI World |
Lyxor UCITS and SPDR MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor UCITS and SPDR MSCI
The main advantage of trading using opposite Lyxor UCITS and SPDR MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS position performs unexpectedly, SPDR MSCI 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 SPDR MSCI will offset losses from the drop in SPDR MSCI's long position.| Lyxor UCITS vs. UBSFund Solutions MSCI | Lyxor UCITS vs. Vanguard SP 500 | Lyxor UCITS vs. iShares VII PLC | Lyxor UCITS vs. iShares Core SP |
| SPDR MSCI vs. SPDR MSCI Europe | SPDR MSCI vs. SPDR SP Utilities | SPDR MSCI vs. SPDR MSCI Europe | SPDR MSCI vs. SPDR MSCI EM |
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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