Correlation Between Lyxor UCITS and Lyxor Treasury
Can any of the company-specific risk be diversified away by investing in both Lyxor UCITS and Lyxor Treasury 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 Treasury 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 Treasury 10Y, you can compare the effects of market volatilities on Lyxor UCITS and Lyxor Treasury 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 Treasury. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor UCITS and Lyxor Treasury.
Diversification Opportunities for Lyxor UCITS and Lyxor Treasury
0.59 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Lyxor and Lyxor is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS EuroMTS and Lyxor Treasury 10Y in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor Treasury 10Y 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 Treasury. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor Treasury 10Y has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and Lyxor Treasury go up and down completely randomly.
Pair Corralation between Lyxor UCITS and Lyxor Treasury
Assuming the 90 days trading horizon Lyxor UCITS EuroMTS is expected to generate 0.5 times more return on investment than Lyxor Treasury. However, Lyxor UCITS EuroMTS is 1.99 times less risky than Lyxor Treasury. It trades about -0.01 of its potential returns per unit of risk. Lyxor Treasury 10Y is currently generating about -0.02 per unit of risk. If you would invest 1,421,700 in Lyxor UCITS EuroMTS on September 3, 2024 and sell it today you would lose (29,100) from holding Lyxor UCITS EuroMTS or give up 2.05% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 99.8% |
| Values | Daily Returns |
Lyxor UCITS EuroMTS vs. Lyxor Treasury 10Y
Performance |
| Timeline |
| Lyxor UCITS EuroMTS |
| Lyxor Treasury 10Y |
Lyxor UCITS and Lyxor Treasury Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor UCITS and Lyxor Treasury
The main advantage of trading using opposite Lyxor UCITS and Lyxor Treasury positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS position performs unexpectedly, Lyxor Treasury 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 Treasury will offset losses from the drop in Lyxor Treasury's long position.| Lyxor UCITS vs. Lyxor Smart Overnight | Lyxor UCITS vs. Lyxor Core UK | Lyxor UCITS vs. Lyxor Core Global | Lyxor UCITS vs. Lyxor UCITS iBoxx |
| Lyxor Treasury vs. GraniteShares 3x Short | Lyxor Treasury vs. WisdomTree Natural Gas | Lyxor Treasury vs. Leverage Shares 3x | Lyxor Treasury 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 Transaction History module to view history of all your transactions and understand their impact on performance.
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