Correlation Between IShares MSCI and Lyxor UCITS
Can any of the company-specific risk be diversified away by investing in both IShares MSCI and Lyxor UCITS 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 IShares MSCI and Lyxor UCITS into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares MSCI USA and Lyxor UCITS Japan, you can compare the effects of market volatilities on IShares MSCI and Lyxor UCITS 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 IShares MSCI with a short position of Lyxor UCITS. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares MSCI and Lyxor UCITS.
Diversification Opportunities for IShares MSCI and Lyxor UCITS
0.6 | Correlation Coefficient |
Poor diversification
The 3 months correlation between IShares and Lyxor is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding iShares MSCI USA and Lyxor UCITS Japan in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor UCITS Japan and IShares MSCI 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 iShares MSCI USA are associated (or correlated) with Lyxor UCITS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor UCITS Japan has no effect on the direction of IShares MSCI i.e., IShares MSCI and Lyxor UCITS go up and down completely randomly.
Pair Corralation between IShares MSCI and Lyxor UCITS
Assuming the 90 days trading horizon iShares MSCI USA is expected to generate 0.79 times more return on investment than Lyxor UCITS. However, iShares MSCI USA is 1.27 times less risky than Lyxor UCITS. It trades about 0.31 of its potential returns per unit of risk. Lyxor UCITS Japan is currently generating about 0.11 per unit of risk. If you would invest 753.00 in iShares MSCI USA on September 20, 2024 and sell it today you would earn a total of 30.00 from holding iShares MSCI USA or generate 3.98% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares MSCI USA vs. Lyxor UCITS Japan
Performance |
| Timeline |
| iShares MSCI USA |
| Lyxor UCITS Japan |
IShares MSCI and Lyxor UCITS Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares MSCI and Lyxor UCITS
The main advantage of trading using opposite IShares MSCI and Lyxor UCITS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares MSCI position performs unexpectedly, Lyxor UCITS 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 UCITS will offset losses from the drop in Lyxor UCITS's long position.| IShares MSCI vs. Lyxor UCITS Japan | IShares MSCI vs. Lyxor UCITS Japan | IShares MSCI vs. Lyxor UCITS Stoxx | IShares MSCI vs. Amundi CAC 40 |
| Lyxor UCITS vs. Lyxor UCITS Japan | Lyxor UCITS vs. Lyxor UCITS Stoxx | Lyxor UCITS vs. Gold Bullion Securities | Lyxor UCITS vs. SSgA SPDR ETFs |
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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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