Correlation Between Lyxor PEA and SPDR MSCI
Can any of the company-specific risk be diversified away by investing in both Lyxor PEA 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 PEA 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 PEA Nasdaq and SPDR MSCI Europe, you can compare the effects of market volatilities on Lyxor PEA 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 PEA with a short position of SPDR MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor PEA and SPDR MSCI.
Diversification Opportunities for Lyxor PEA and SPDR MSCI
Pay attention - limited upside
The 3 months correlation between Lyxor and SPDR is -0.84. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor PEA Nasdaq and SPDR MSCI Europe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR MSCI Europe and Lyxor PEA 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 PEA Nasdaq 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 Europe has no effect on the direction of Lyxor PEA i.e., Lyxor PEA and SPDR MSCI go up and down completely randomly.
Pair Corralation between Lyxor PEA and SPDR MSCI
Assuming the 90 days trading horizon Lyxor PEA Nasdaq is expected to generate 1.3 times more return on investment than SPDR MSCI. However, Lyxor PEA is 1.3 times more volatile than SPDR MSCI Europe. It trades about 0.12 of its potential returns per unit of risk. SPDR MSCI Europe is currently generating about 0.06 per unit of risk. If you would invest 5,816 in Lyxor PEA Nasdaq on August 26, 2024 and sell it today you would earn a total of 2,164 from holding Lyxor PEA Nasdaq or generate 37.21% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor PEA Nasdaq vs. SPDR MSCI Europe
Performance |
| Timeline |
| Lyxor PEA Nasdaq |
| SPDR MSCI Europe |
Lyxor PEA and SPDR MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor PEA and SPDR MSCI
The main advantage of trading using opposite Lyxor PEA and SPDR MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor PEA 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 PEA vs. Lyxor UCITS Japan | Lyxor PEA vs. Lyxor UCITS Stoxx | Lyxor PEA vs. Gold Bullion Securities | Lyxor PEA vs. Lyxor CAC 40 |
| SPDR MSCI vs. Lyxor UCITS Japan | SPDR MSCI vs. Lyxor UCITS Stoxx | SPDR MSCI vs. Gold Bullion Securities | SPDR MSCI vs. Lyxor CAC 40 |
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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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