Correlation Between SSgA SPDR and Lyxor MSCI
Can any of the company-specific risk be diversified away by investing in both SSgA SPDR and Lyxor 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 SSgA SPDR and Lyxor MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SSgA SPDR ETFs and Lyxor MSCI China, you can compare the effects of market volatilities on SSgA SPDR and Lyxor 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 SSgA SPDR with a short position of Lyxor MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of SSgA SPDR and Lyxor MSCI.
Diversification Opportunities for SSgA SPDR and Lyxor MSCI
0.37 | Correlation Coefficient |
Weak diversification
The 3 months correlation between SSgA and Lyxor is 0.37. Overlapping area represents the amount of risk that can be diversified away by holding SSgA SPDR ETFs and Lyxor MSCI China in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor MSCI China and SSgA SPDR 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 SSgA SPDR ETFs are associated (or correlated) with Lyxor MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor MSCI China has no effect on the direction of SSgA SPDR i.e., SSgA SPDR and Lyxor MSCI go up and down completely randomly.
Pair Corralation between SSgA SPDR and Lyxor MSCI
Assuming the 90 days trading horizon SSgA SPDR ETFs is expected to generate 0.82 times more return on investment than Lyxor MSCI. However, SSgA SPDR ETFs is 1.22 times less risky than Lyxor MSCI. It trades about 0.12 of its potential returns per unit of risk. Lyxor MSCI China is currently generating about 0.05 per unit of risk. If you would invest 5,434 in SSgA SPDR ETFs on September 1, 2024 and sell it today you would earn a total of 1,211 from holding SSgA SPDR ETFs or generate 22.29% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
SSgA SPDR ETFs vs. Lyxor MSCI China
Performance |
| Timeline |
| SSgA SPDR ETFs |
| Lyxor MSCI China |
SSgA SPDR and Lyxor MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SSgA SPDR and Lyxor MSCI
The main advantage of trading using opposite SSgA SPDR and Lyxor MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SSgA SPDR position performs unexpectedly, Lyxor 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 Lyxor MSCI will offset losses from the drop in Lyxor MSCI's long position.| SSgA SPDR vs. Lyxor MSCI China | SSgA SPDR vs. Manitou BF SA | SSgA SPDR vs. Ossiam Minimum Variance | SSgA SPDR vs. Granite 3x LVMH |
| Lyxor MSCI vs. Manitou BF SA | Lyxor MSCI vs. Ossiam Minimum Variance | Lyxor MSCI vs. Granite 3x LVMH | Lyxor MSCI vs. 21Shares Polkadot ETP |
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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