Correlation Between Lyxor MSCI and Lyxor UCITS
Can any of the company-specific risk be diversified away by investing in both Lyxor 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 Lyxor 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 Lyxor MSCI Brazil and Lyxor UCITS Stoxx, you can compare the effects of market volatilities on Lyxor 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 Lyxor MSCI with a short position of Lyxor UCITS. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor MSCI and Lyxor UCITS.
Diversification Opportunities for Lyxor MSCI and Lyxor UCITS
0.25 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Lyxor and Lyxor is 0.25. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor MSCI Brazil and Lyxor UCITS Stoxx in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor UCITS Stoxx and Lyxor 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 Lyxor MSCI Brazil 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 Stoxx has no effect on the direction of Lyxor MSCI i.e., Lyxor MSCI and Lyxor UCITS go up and down completely randomly.
Pair Corralation between Lyxor MSCI and Lyxor UCITS
Assuming the 90 days trading horizon Lyxor MSCI Brazil is expected to under-perform the Lyxor UCITS. In addition to that, Lyxor MSCI is 1.35 times more volatile than Lyxor UCITS Stoxx. It trades about -0.04 of its total potential returns per unit of risk. Lyxor UCITS Stoxx is currently generating about -0.03 per unit of volatility. If you would invest 5,426 in Lyxor UCITS Stoxx on September 3, 2024 and sell it today you would lose (218.00) from holding Lyxor UCITS Stoxx or give up 4.02% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor MSCI Brazil vs. Lyxor UCITS Stoxx
Performance |
| Timeline |
| Lyxor MSCI Brazil |
| Lyxor UCITS Stoxx |
Lyxor MSCI and Lyxor UCITS Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor MSCI and Lyxor UCITS
The main advantage of trading using opposite Lyxor MSCI and Lyxor UCITS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor 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.| Lyxor MSCI vs. Amundi Index Solutions | Lyxor MSCI vs. Manitou BF SA | Lyxor MSCI vs. Ossiam Minimum Variance | Lyxor MSCI vs. Granite 3x LVMH |
| Lyxor UCITS vs. Lyxor Index Fund | Lyxor UCITS vs. Multi Units France | Lyxor UCITS vs. Lyxor UCITS MSCI | Lyxor UCITS vs. Multi Units France |
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 Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
Other Complementary Tools
| Share Portfolio Track or share privately all of your investments from the convenience of any device | |
| Portfolio Comparator Compare the composition, asset allocations and performance of any two portfolios in your account | |
| Aroon Oscillator Analyze current equity momentum using Aroon Oscillator and other momentum ratios | |
| Portfolio Anywhere Track or share privately all of your investments from the convenience of any device | |
| AI Portfolio Architect Use AI to generate optimal portfolios and find profitable investment opportunities |