Correlation Between Lyxor UCITS and Lyxor SP
Can any of the company-specific risk be diversified away by investing in both Lyxor UCITS and Lyxor 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 Lyxor SP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor UCITS EuroMTS and Lyxor SP 500, you can compare the effects of market volatilities on Lyxor UCITS and Lyxor 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 Lyxor SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor UCITS and Lyxor SP.
Diversification Opportunities for Lyxor UCITS and Lyxor SP
-0.42 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Lyxor and Lyxor is -0.42. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS EuroMTS and Lyxor SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor 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 EuroMTS are associated (or correlated) with Lyxor SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor SP 500 has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and Lyxor SP go up and down completely randomly.
Pair Corralation between Lyxor UCITS and Lyxor SP
Assuming the 90 days trading horizon Lyxor UCITS is expected to generate 5.73 times less return on investment than Lyxor SP. But when comparing it to its historical volatility, Lyxor UCITS EuroMTS is 2.09 times less risky than Lyxor SP. It trades about 0.11 of its potential returns per unit of risk. Lyxor SP 500 is currently generating about 0.29 of returns per unit of risk over similar time horizon. If you would invest 464,185 in Lyxor SP 500 on August 31, 2024 and sell it today you would earn a total of 29,170 from holding Lyxor SP 500 or generate 6.28% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 95.65% |
| Values | Daily Returns |
Lyxor UCITS EuroMTS vs. Lyxor SP 500
Performance |
| Timeline |
| Lyxor UCITS EuroMTS |
| Lyxor SP 500 |
Lyxor UCITS and Lyxor SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor UCITS and Lyxor SP
The main advantage of trading using opposite Lyxor UCITS and Lyxor SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS position performs unexpectedly, Lyxor 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 Lyxor SP will offset losses from the drop in Lyxor SP's long position.| Lyxor UCITS vs. Leverage Shares 3x | Lyxor UCITS vs. WisdomTree Natural Gas | Lyxor UCITS vs. GraniteShares 3x Short | Lyxor UCITS vs. Leverage Shares 3x |
| Lyxor SP vs. GraniteShares 3x Short | Lyxor SP vs. WisdomTree Natural Gas | Lyxor SP vs. Leverage Shares 3x | Lyxor SP vs. WisdomTree Natural Gas |
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 Sync Your Broker module to sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors..
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